Wavelet Variance, Covariance and Correlation Analysis of BSE and NSE Indexes Financial Time Series

被引：2

作者：

Kumar, Anuj ^{[1
]}

Pant, Sangeeta ^{[1
]}

Joshi, Lokesh Kumar ^{[2
]}

机构：

[1] Univ Petr & Energy Studies, Dept Math, Dehra Dun 248007, Uttarakhand, India

[2] Gurukul Kangri Vishwavidyalaya, Fac Engn & Technol, Dept Appl Math, Haridwar 249404, India

来源：

INTERNATIONAL JOURNAL OF MATHEMATICAL ENGINEERING AND MANAGEMENT SCIENCES | 2016年 / 1卷 / 01期

关键词：

stock markets; MODWT; financial time series; BSE & NSE indexes; wavelet variance and covariance;

D O I：

10.33889/IJMEMS.2016.1.1-003

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The mostly used measure to analyze the stock market behavior is wavelet correlation analysis. Cross-country correlations have been largely used to obtain a static estimate of the comovements of actual returns across country. In this paper wavelet based variance, covariance and correlation analysis of BSE and NSE indexes financial time series have been done using index data from April 1990 to March 2006.

引用

页码：26 / 33

页数：8

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