Locating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram

Locating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram

In this paper, we offer a proxy volatility measure based on maximum overlap discrete wavelet transform (MODWT) called multiscale wavelet periodogram (MSWP). We show that the multiscale wavelet periodogram (MSWP) is well equipped to detect multiple changes in the unconditional variance of a time-vary...

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Bibliographic Details
Main Authors: Md. Sabiruzzaman, Hamzah, Nor Aishah, Baharumshah, Ahmad Zubaidi
Format: Conference or Workshop Item
Language:English
Published: AIP Publishing LLC 2014
Online Access:http://psasir.upm.edu.my/id/eprint/39100/
http://psasir.upm.edu.my/id/eprint/39100/1/Locating%20shifts%20in%20the%20unconditional%20variance%20of%20time-dependent%20processes%20using%20multiscale%20wavelet%20periodogram.pdf

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