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| Author: | Doksum, K. Miura, R. Yamauchi, H. |
| Title: | On financial time series decompositions with applications to volatility |
| Journal: | Hitotsubashi Journal of Commerce and Management
2000 : OCT, VOL. 35:1, p. 19-47 |
| Index terms: | EXCHANGE RATES TIME SERIES VOLATILITY |
| Freeterms: | DECOMPOSITION |
| Language: | eng |
| Abstract: | The authors consider decompositions of financial time series that identify important modes of variation in the series. The first term in the decomposition measures long-term trends and focuses on large-scale features of variability. The second term measures short-term trends and local features of variability remaining after the long-term trend has been removed. The third term measures the irregularity left in the series after the long- and short-term trends have been subtracted. |
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