Volatility Spillovers in the CSI300 Futures and Spot Markets in China: Empirical Study Based on Discrete Wavelet Transform and VAR-BEKK-bivariate GARCH Model.
Shiyun LiPublished in: ITQM (2015)
Keyphrases
- spot market
- garch model
- discrete wavelet transform
- empirical studies
- chinese stock market
- stock market
- wavelet domain
- multiresolution
- sar images
- wavelet coefficients
- high frequency
- subband
- multivariate time series
- image fusion
- stock index
- empirical analysis
- low frequency
- spatial domain
- palmprint
- denoising
- feature vectors
- frequency domain
- wavelet transform
- computer vision
- principal component analysis
- feature space
- multiscale
- feature selection