Brandon Whitcher

National Center for Atmospheric Research

P.O. Box 3000

Boulder, CO 80307

United States

  • National Center for Atmospheric Research

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Asymmetry of Information Flow between Volatilities Across Time Scales

Number of pages: 40 Posted: 05 May 2003 Last Revised: 17 Jun 2009
Ramazan Gencay, Faruk Selcuk, Nikola Gradojevic and Brandon Whitcher
Simon Fraser University, Bilkent University - Department of Economics, University of Guelph, Department of Economics and Finance and National Center for Atmospheric Research
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Abstract:

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Discrete wavelet transform, wavelet-domain hidden Markov trees, foreign exchange markets, stock markets, multiresolution analysis, scaling, Finance, Financial Econometrics, Volatility, High-Frequency Finance, Wavelets