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

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