A Multi-Horizon Scale for Volatility
نویسندگان
چکیده
منابع مشابه
A Multi - Horizon Scale for Volatility Alexander SUBBOTIN
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for volatilities, analogous to the Richter scale in geophysics. The peakover-threshold method is used to fit the generalized Pareto probability distribution for the extreme values in the realized variances of wavelet coefficients. The indicator is computed for the da...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1101376