The discrete wavelet transform (DWT) can be interpreted as a filtering of a time series by a set of octave band filters such that the width of each band as a proportion of its center frequency is ...
The Journal of Business, Vol. 79, No. 2 (March 2006), pp. 799-820 (22 pages) This paper examines the relationship between the stock and futures markets in terms of lead‐lag relationship, correlation, ...
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