Practical Application of the SIML Estimation of Covariance, Correlation, and Hedging Ratio with High-Frequency Financial Data.
Hiroumi MisakiPublished in: KES-IDT (1) (2019)
Keyphrases
- practical application
- high frequency
- financial data
- low frequency
- stock market
- wavelet transform
- bankruptcy prediction
- stock trading
- financial crisis
- high resolution
- stock exchange
- financial time series
- discrete wavelet transform
- visual quality
- subband
- wavelet coefficients
- stock price
- low pass
- financial markets
- high frequencies
- financial statements
- wavelet domain
- frequency band
- transaction costs
- high frequency components
- remote sensing
- non stationary
- long term
- high quality
- human visual system