Structural Breakpoints in Volatility in International Markets



and ψj,k(t) are scaled and translated versions of φ and ψ. As equation (3) indicates, the scale
or dilation factor is 2j, whereas the translation or location parameter is 2jk. As j gets larger,
so does the scale factor 2j, and the functions
φj,k(t) and ψj,k(t) get shorter and more spread
out. In other words, 2j is a measure of the width of the functions
φj,k(t) and ψj,k(t). Likewise,
as j increases, the translation step gets correspondingly larger in order to match the scale
parameter 2j.

Applications of wavelet analysis commonly make use of a discrete wavelet
transform (DWT). The DWT calculates the coefficients of the approximation in (2) for a
discrete signal of final extent, f1, f2,.., fn. That is, it maps the vector
f=(f1, f2,...,fn)' to a
vector
ω of n wavelet coefficients that contains sJ,k and dj,k, j=1,2,..., J. The sJ,k are called
the smooth coefficients and the d
j,k are called the detail coefficients. Intuitively, the smooth
coefficients represent the underlying smooth behavior of the data at the coarse scale 2J,
whereas the detail coefficients provide the coarse scale deviations from it.

When the length of the data n is divisible by 2J, there are n/2 coefficients d1,k at the
finest scale 21=2. At the next finest scale, there are n/22 coefficients d
2,k. Similarly, at the
coarsest scale, there are n/2J d
J,k coefficients and n/2J sJ,k coefficients. Altogether, there are

J

n
— 2i 2j

^ i=1         y y


= n coefficients. The number of coefficients at a given scale is related to the

width of the wavelet function. For instance, at the finest scale, it takes n/2 terms for the
functions
ψ1,k(t) to cover the interval 1tn.

The wavelet coefficients are ordered from coarse scales to fine scales in the vector
ω. If n is divisible by 2J, ω will be given by



More intriguing information

1. Incorporating global skills within UK higher education of engineers
2. FOREIGN AGRICULTURAL SERVICE PROGRAMS AND FOREIGN RELATIONS
3. The name is absent
4. Heterogeneity of Investors and Asset Pricing in a Risk-Value World
5. BODY LANGUAGE IS OF PARTICULAR IMPORTANCE IN LARGE GROUPS
6. Lending to Agribusinesses in Zambia
7. Labour Market Flexibility and Regional Unemployment Rate Dynamics: Spain (1980-1995)
8. THE ECONOMICS OF COMPETITION IN HEALTH INSURANCE- THE IRISH CASE STUDY.
9. The name is absent
10. Why Managers Hold Shares of Their Firms: An Empirical Analysis
11. Moi individuel et moi cosmique Dans la pensee de Romain Rolland
12. Tax systems and tax reforms in Europe: Rationale and open issue for more radical reforms
13. Optimal Tax Policy when Firms are Internationally Mobile
14. The geography of collaborative knowledge production: entropy techniques and results for the European Union
15. Wounds and reinscriptions: schools, sexualities and performative subjects
16. IMPROVING THE UNIVERSITY'S PERFORMANCE IN PUBLIC POLICY EDUCATION
17. Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach
18. Using Surveys Effectively: What are Impact Surveys?
19. Climate change, mitigation and adaptation: the case of the Murray–Darling Basin in Australia
20. ISO 9000 -- A MARKETING TOOL FOR U.S. AGRIBUSINESS