Measured data from most processes are inherently multiscale in nature owing to contributions from events occurring at different locations and with different localization in time and frequency. Consequently, data analysis and modeling methods that represent the measured variables at multiple scales a
β¦ LIBER β¦
Multiscale monitoring of autocorrelated processes using wavelets analysis
β Scribed by Guo, Huairui; Paynabar, Kamran; Jin, Jionghua
- Book ID
- 121462478
- Publisher
- Taylor and Francis Group
- Year
- 2012
- Tongue
- English
- Weight
- 878 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0740-817X
No coin nor oath required. For personal study only.
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This study investigates the hedging effectiveness of a dynamic movingβwindow OLS hedging model, formed using wavelet decomposed timeβseries. The wavelet transform is applied to calculate the appropriate dynamic minimumβvariance hedge ratio for various hedging horizons for a number of assets. The eff