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DC Field | Value | Language |
---|---|---|
dc.creator | Sáfadi, Thelma | - |
dc.creator | Vidakovic, Brani | - |
dc.date.accessioned | 2019-09-09T19:09:16Z | - |
dc.date.available | 2019-09-09T19:09:16Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | SÁFADI, T.; VIDAKOVIC, B. Multiscale characterization of volatility of main stock indexes. International Journal of Statistics and Economics, [S.l.], v. 17, n. 2, 2016. | pt_BR |
dc.identifier.uri | http://www.ceser.in/ceserp/index.php/bse/article/view/4258 | pt_BR |
dc.identifier.uri | http://repositorio.ufla.br/jspui/handle/1/36750 | - |
dc.description.abstract | We show that nonstationary behavior of volatilities of stock markets can be succinctly described in terms of the non-decimated wavelet transform, and we indicate how this characterization can be used to improve clustering of the markets. The methodology combines multiresolution analysis with independent component modeling thus addressing the inherent nature of volatility as being multiscale and convolution. The clustering results provide more information related to complex nature of market volatility, show robust behavior and agree with the results obtained in literature. | pt_BR |
dc.language | en_US | pt_BR |
dc.publisher | Centre for Environment & Socio-Economic Research Publications | pt_BR |
dc.rights | restrictAccess | pt_BR |
dc.source | International Journal of Statistics & Economics (IJSE) | pt_BR |
dc.subject | Multiscale analysis | pt_BR |
dc.subject | Non-decimated wavelet transform | pt_BR |
dc.subject | Scale invariance | pt_BR |
dc.subject | Wavelet transform | pt_BR |
dc.subject | Multi-scale analysis | pt_BR |
dc.title | Multiscale characterization of volatility of main stock indexes | pt_BR |
dc.type | Artigo | pt_BR |
Appears in Collections: | DES - Artigos publicados em periódicos |
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