Back to search

Differentiating intraday seasonalities through wavelet multi-scaling

Data up to Jan 2025

Published2001
Citations169
References23

Total Citations Per Year

Abstract

References (23)

A theory for multiresolution signal decomposition: the wavelet representation

1989 • 20,249 citations

A Wavelet Tour of Signal Processing

1999 • 16,854 citations

Ten lectures on wavelets

1992 • 15,909 citations

An introduction to wavelets

1992 • 3,954 citations

Wavelet methods for time series analysis

2001 • 2,657 citations

Wavelet Methods for Time SeriesAnalysis

2000 • 2,656 citations

Translation-Invariant De-Noising

1995 • 1,925 citations

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

1998 • 1,222 citations

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

2002 • 1,105 citations

An Introduction to High-Frequency Finance

2001 • 1,092 citations

The Stationary Wavelet Transform and some Statistical Applications

1995 • 1,087 citations

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

1997 • 664 citations

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

1993 • 637 citations

Wavelets and Statistics

1995 • 574 citations

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

1990 • 499 citations

The Distribution of Exchange Rate Volatility

1999 • 457 citations

On estimation of the wavelet variance

1995 • 413 citations

Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets

1997 • 248 citations

Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

1996 • 216 citations

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

1997 • 130 citations

INTRODUCTION

2001 • 121 citations

Multifractality of Deutschemark/US Dollar Exchange Rates

1997 • 62 citations

Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets

1997 • 51 citations

Cited By (0)

Loading...