A WAVELET EXPLORATION OF THE BVL INDEX

Paulo Brito ()

Portuguese Journal of Management Studies, 2001, vol. VI, issue 1, 3-21

Abstract: Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the main definitions and results of both wavelet (IBVL). We denoise the series, separate trend and cycle, and present a Monte Carlo estimation of the fractal dimension of the series.

Keywords: Wavelets; Lisbon stock exchange. (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2001
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