Analysis of Month Volatility of Hu Shen Stock Markets Return Based on Wavelet Variance

摘要：

This paper analysis the month volatility of hushen stock markets return based on wavelet variance. The result shows that the month volatility of the stock return is affected by the variety of season and the month volatility on the different scale has a similar variety trend.

关键词： maximal overlap discrete wavelet transformation wavelet variance volatility scale decompose

作者: DONG Xiaogang LIU Wenbo LIU Wei

作者单位: School of Basic Science, Changchun University of Technology, P.R.China, 130012 Department of Basic Science, Jilin Institute of Architecture and Civil Engineering, P.R.China, 13001

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 471-476

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）