Volatility Dynamics of Wavelet-filtered Stock Prices
نویسندگان
چکیده
Volatility dynamics of wavelet filtered stock price time series is studied. Using the universal thresholding method of wavelet filtering and a principle of minimal linear autocorrelation of noise component we find that the quantitative characteristics of volatility dynamics of denoised series are noticeably different from those of the raw data and the noise. Supported by the RFBR grant 06-06-80357 Corresponding author, e-mail [email protected]
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تاریخ انتشار 2006