Add to ORKGIn this article we discuss recent results on modelling and forecasting covariance non-stationary sto...
We present an application of wavelet techniques to non-stationary time series with the aim of detect...
Financial time series are frequently met both in daily life and the scientific world. It is clearly ...
Many time series in the applied sciences display a time-varying second order structure. In this arti...
In this note we show that the locally stationary wavelet process can be decomposed into a sum of sig...
We propose a locally stationary model for nancial log-returns whereby the returns are independent an...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2009.htmClassification JEL :...
In time series analysis, most of the models are based on the assumption of covariance stationarity. ...
Time series data can often possess complex and dynamic characteristics. Two key statistical properti...
Most time series observed in practice exhibit first as well as second-order nonstationarity. In this...
Most time series observed in practice exhibit first as well as second-order nonstationarity. In this...
We consider a locally stationary model for financial log-returns whereby the returns are independent...
Wavelets orthogonally decompose data into different frequency components, and the temporal and frequ...
ACL-3International audienceIn this article, we propose two new semiparametric estimators in the wave...
Conventional time series theory and spectral analysis have independently achieved significant popula...
In this article we discuss recent results on modelling and forecasting covariance non-stationary sto...
We present an application of wavelet techniques to non-stationary time series with the aim of detect...
Financial time series are frequently met both in daily life and the scientific world. It is clearly ...
Many time series in the applied sciences display a time-varying second order structure. In this arti...
In this note we show that the locally stationary wavelet process can be decomposed into a sum of sig...
We propose a locally stationary model for nancial log-returns whereby the returns are independent an...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2009.htmClassification JEL :...
In time series analysis, most of the models are based on the assumption of covariance stationarity. ...
Time series data can often possess complex and dynamic characteristics. Two key statistical properti...
Most time series observed in practice exhibit first as well as second-order nonstationarity. In this...
Most time series observed in practice exhibit first as well as second-order nonstationarity. In this...
We consider a locally stationary model for financial log-returns whereby the returns are independent...
Wavelets orthogonally decompose data into different frequency components, and the temporal and frequ...
ACL-3International audienceIn this article, we propose two new semiparametric estimators in the wave...
Conventional time series theory and spectral analysis have independently achieved significant popula...
In this article we discuss recent results on modelling and forecasting covariance non-stationary sto...
We present an application of wavelet techniques to non-stationary time series with the aim of detect...
Financial time series are frequently met both in daily life and the scientific world. It is clearly ...