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• W1543314130 abstract "The non-stationary character of stock market returns manifests itself through the volatility clustering effect and large jumps. An efficient way of representing a time series with such complex dynamics is given by wavelet methodology. With the help of a wavelet basis, the discrete wavelet transform (DWT) is able to break a time series with respect to a time-scale while preserving the time dimension and energy unlike the traditional Fourier transform which trades time for frequency. Time-scale specific information is important if one accepts the view that stock market consists of heterogenous investors operating at different time-scales. In that case considerable more insight into the volatility dynamics is gained by looking at the data at several time-scales. At small time-scales, in particular, the locality of wavelet analysis allows one to fully exploit high-frequency data. Wavelet transforms are also fast to calculate, so they are ideally suited for analyzing large data sets. The large-scale aim of this licentiate thesis is to first introduce wavelet methodology to econometricians and then to analyze stock market volatility with it. In more detail, the data consists of 5-minute observations of the liquid Nokia Oyj stock at the Helsinki Stock Exchange (HEX). Several microstructure problems have to be dealt with, some characteristic of the HEX. Pre-filtered volatility series is then being analyzed by the maximal overlap DWT to study both the global and local scaling laws in a turbulent IT-bubble (1999 - 2000) and its calmer aftermath period (2001 - 2002). Significant time-scale specific differences between these two periods are found. The global scaling laws may not be time-invariant as usually claimed. The bubble period also experienced stronger long-memory in volatility than its aftermath. Thus long-memory may be time-varying as well. Such a finding can be applied in a locally stationary stochastic volatility model. Finally, the effects of the intraday volatility periodicity are studied and they are also found to be significant.%%%%Endast avhandlingens sammandrag. Pappersexemplaret av hela avhandlingen finns for lasesalsbruk i Statsvetenskapliga biblioteket (Unionsgatan 35). Dessa avhandlingar fjarrutlanas endast som microfiche.%%%%Abstract only. The paper copy of the whole thesis is available for reading room use at the Library of Social Sciences (Unioninkatu 35) . Microfiche copies of these theses are available for interlibrary loans.%%%%Vain tiivistelma. Opinnaytteiden sidotut arkistokappaleet ovat luettavissa HY:n keskustakampuksen valtiotieteiden kirjastossa (Unioninkatu 35). Opinnaytteita lainataan ainoastaan mikrokortteina kirjaston kaukopalvelun valityksella" @default.
• W1543314130 created "2016-06-24" @default.
• W1543314130 creator A5006696906 @default.
• W1543314130 date "2004-09-22" @default.
• W1543314130 modified "2023-09-26" @default.
• W1543314130 title "A Multiresolution Analysis of Stock Market Volatility Using Wavelet Methodology" @default.
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