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

doi:10.3390/ijfs6030076

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 Journal › Article › Academic › peer-review

Original language	English
Article number	76
Journal	International Journal of Financial Studies
Volume	6
Issue number	3
DOIs	https://doi.org/10.3390/ijfs6030076
Publication status	Published - Sept 2018

Funding

Acknowledgments: S. Kokabisaghi gratefully acknowledges partial funding by the Iranian Ministry of Science and Young Researchers Elite Club.

Funders	Funder number
Iranian Ministry of Science and Young Researchers Elite Club

Keywords

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

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10.3390/ijfs6030076

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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",

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language = "English",

volume = "6",

journal = "International Journal of Financial Studies",

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AU - Van Meulder, Katrien

AU - Dorsman, Andre B.

PY - 2018/9

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KW - Longstaff

KW - and Sanders)

KW - Generalized Method of Moments (GMM)

KW - wavelets

KW - exogenous shock

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DO - 10.3390/ijfs6030076

M3 - Article

SN - 2227-7072

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JO - International Journal of Financial Studies

JF - International Journal of Financial Studies

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M1 - 76

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