Locating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram

• Main Authors: Md. Sabiruzzaman,, Hamzah, Nor Aishah, Baharumshah, Ahmad Zubaidi
• Format: Conference or Workshop Item
• Language: English
• Published: AIP Publishing LLC 2014
• Online Access: http://psasir.upm.edu.my/id/eprint/39100/1/Locating%20shifts%20in%20the%20unconditional%20variance%20of%20time-dependent%20processes%20using%20multiscale%20wavelet%20periodogram.pdf; http://psasir.upm.edu.my/id/eprint/39100/

In this paper, we offer a proxy volatility measure based on maximum overlap discrete wavelet transform (MODWT) called multiscale wavelet periodogram (MSWP). We show that the multiscale wavelet periodogram (MSWP) is well equipped to detect multiple changes in the unconditional variance of a time-vary...