Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise.
Sofia C. OlhedeAdam M. SykulskiGrigorios A. PavliotisPublished in: Multiscale Model. Simul. (2009)
Keyphrases
- frequency domain
- power spectrum
- low frequency
- power spectra
- stock price
- stock market
- spatial domain
- frequency analysis
- fourier transform
- chinese stock market
- transformed image
- financial markets
- bandpass
- spectral domain
- denoising
- fourier analysis
- cross correlation
- low pass
- frequency response
- subband
- frequency domain analysis
- mid frequency
- feature extraction
- frequency spectrum
- spectrum analysis
- phase correlation
- garch model
- noise model
- non stationary
- image data