In this article we extend the definition of wavelet variance to wavelet packets. We also adapt to wavelet packets an iterated cumulative sum of squares algorithm for the location of variance change ...
The Journal of Business, Vol. 79, No. 2 (March 2006), pp. 799-820 (22 pages) This paper examines the relationship between the stock and futures markets in terms of lead‐lag relationship, correlation, ...
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