Simon Reese

Lund University - Department of Economics

P.O. Box 7082

S-220 07 Lund

Sweden

SCHOLARLY PAPERS

2

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236

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0

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Scholarly Papers (2)

1.

Wavelet Improvement in Turning Point Detection Using a Hidden Markov Model

NHH Dept. of Business and Management Science Discussion Paper No. 2014/10
Number of pages: 23 Posted: 27 Mar 2014
Yushu Li and Simon Reese
Norwegian School of Economics (NHH) - Department of Business and Management Science and Lund University - Department of Economics
Downloads 235 (130,136)

Abstract:

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HMM, turning point, wavelet, wavelet power spectrum, outlier

2.

A Factor Analytical Approach to Price Discovery

Oxford Bulletin of Economics and Statistics, Vol. 79, Issue 3, pp. 366-394, 2017
Number of pages: 29 Posted: 25 Apr 2017
Lund University - Department of Economics, Lund University - Department of Economics and Deakin University - School of Accounting, Economics and Finance
Downloads 1 (652,506)
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Abstract:

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Price discovery, panel data, common factor models, cross‐unit cointegration