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Abstract

References (36)

Ten lectures on wavelets

1992 • 15,909 citations

Ten Lectures on Wavelets

1992 • 12,641 citations

Fractional Brownian Motions, Fractional Noises and Applications

1968 • 7,349 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

1980 • 3,256 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Wavelet methods for time series analysis

2001 • 2,657 citations

Wavelet Methods for Time SeriesAnalysis

2000 • 2,656 citations

Fractional differencing

1981 • 2,334 citations

The Distribution of Realized Exchange Rate Volatility

2001 • 2,139 citations

Scaling behaviour in the dynamics of an economic index

1995 • 1,740 citations

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

1998 • 1,222 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

1997 • 664 citations

Turbulent cascades in foreign exchange markets

1996 • 644 citations

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

1993 • 637 citations

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

1997 • 545 citations

Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

1990 • 499 citations

On estimation of the wavelet variance

1995 • 413 citations

Trading Patterns and Prices in the Interbank Foreign Exchange Market

1993 • 373 citations

Turbulence and financial markets

1996 • 352 citations

Wavelet analysis of covariance with application to atmospheric time series

2000 • 337 citations

Common Persistence in Conditional Variances

1993 • 314 citations

Fractals and Intrinsic Time - a Challenge to Econometricians

1999 • 237 citations

Differentiating intraday seasonalities through wavelet multi-scaling

2001 • 169 citations

Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

2000 • 147 citations

Long‐range Dependence: Revisiting Aggregation with Wavelets

1998 • 144 citations

Trading Patterns and Prices in the Interbank Foreign Exchange Market

1993 • 122 citations

Multiscale behaviour of volatility autocorrelations in a financial market

1999 • 90 citations

Assessing nonstationary time series using wavelets

1998 • 59 citations

Heterogeneous real-time trading strategies in the foreign exchange market

1995 • 53 citations

Apparent scaling

2001 • 43 citations

Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes

2000 • 36 citations

Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

2000 • 23 citations

Volatility Persistence and Apparent Scaling Laws in Finance

1999 • 9 citations

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