Wavelet-based multi-resolution GARCH model for financial spillover effects.
Shian-Chang HuangPublished in: Math. Comput. Simul. (2011)
Keyphrases
- multiresolution
- garch model
- stock market
- wavelet transform
- wavelet domain
- multi resolution analysis
- wavelet analysis
- subband
- wavelet coefficients
- financial data
- multivariate time series
- stock price
- risk management
- stock exchange
- portfolio optimization
- heavy tailed
- multiscale
- sar images
- image coding
- short term
- image compression
- long term
- image processing
- spot market
- stock returns