Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes

Somayeh Kokabisaghi, Eric J. Pauwels, Katrien Van Meulder, Andre B. Dorsman

Research output: Contribution to JournalArticleAcademicpeer-review

Original languageEnglish
JournalINTERNATIONAL JOURNAL OF FINANCIAL STUDIES
Volume6
Issue number3
DOIs
Publication statusPublished - Sep 2018

Keywords

  • mean-reverting diffusion
  • CKLS (Chan
  • Karolyi
  • Longstaff
  • and Sanders)
  • Generalized Method of Moments (GMM)
  • wavelets
  • exogenous shock

Cite this

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title = "Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes",
keywords = "mean-reverting diffusion, CKLS (Chan, Karolyi, Longstaff, and Sanders), Generalized Method of Moments (GMM), wavelets, exogenous shock",
author = "Somayeh Kokabisaghi and Pauwels, {Eric J.} and {Van Meulder}, Katrien and Dorsman, {Andre B.}",
year = "2018",
month = "9",
doi = "10.3390/ijfs6030076",
language = "English",
volume = "6",
journal = "INTERNATIONAL JOURNAL OF FINANCIAL STUDIES",
issn = "2227-7072",
number = "3",

}

Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes. / Kokabisaghi, Somayeh; Pauwels, Eric J.; Van Meulder, Katrien; Dorsman, Andre B.

In: INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, Vol. 6, No. 3, 09.2018.

Research output: Contribution to JournalArticleAcademicpeer-review

TY - JOUR

T1 - Are These Shocks for Real? Sensitivity Analysis of the Significance of the Wavelet Response to Some CKLS Processes

AU - Kokabisaghi, Somayeh

AU - Pauwels, Eric J.

AU - Van Meulder, Katrien

AU - Dorsman, Andre B.

PY - 2018/9

Y1 - 2018/9

KW - mean-reverting diffusion

KW - CKLS (Chan

KW - Karolyi

KW - Longstaff

KW - and Sanders)

KW - Generalized Method of Moments (GMM)

KW - wavelets

KW - exogenous shock

U2 - 10.3390/ijfs6030076

DO - 10.3390/ijfs6030076

M3 - Article

VL - 6

JO - INTERNATIONAL JOURNAL OF FINANCIAL STUDIES

JF - INTERNATIONAL JOURNAL OF FINANCIAL STUDIES

SN - 2227-7072

IS - 3

ER -