North-East Volatility Wind Effect in Traveling Wave Perspective. Helical Structure of Volatility wave Fourier Coefficients

Журнал научных публикаций аспирантов и докторантов 2014
Andrejs Pučkovs

This article describes new properties of North-East Volatility Wind Effect. In current article North-East Volatility Wind Effect is analyzed from traveling wave perspective. In current article North-East Volatility Wave is analysed via Fast Fourier Transform. Obtained Fourier coefficients are analyzed and regular helical (spiral) structure of Fourier coefficients is obtained. This research brings out idea of alternative risk measure applicable for financia time series risk analysis.

Atslēgas vārdi
North-East Volatility Wind Effect, Volatility, Wavelet filtration, Continuouse Wavelet Transform, timeseries analysis, risk estimation, Fourier transform, frequency domain, time domain, Volatility wave, Volatlility pie
Hipersaite
http://jurnal.org/articles/2014/ekon75.html

Pučkovs, A. North-East Volatility Wind Effect in Traveling Wave Perspective. Helical Structure of Volatility wave Fourier Coefficients. Журнал научных публикаций аспирантов и докторантов, 2014, No.7, 15.-18.lpp. ISSN 1991-3087.

Publikācijas valoda
English (en)