Modeling the volatility insurance time series data using Wavelet transform

被引：0

作者：

Alsaraireh, Ahmed Atallah ^{[1
]}

Almasarweh, Mohammad Salameh ^{[2
]}

Al Wadi, S. ^{[3
]}

Alnawaiseh, Mahmoud Barakat ^{[2
]}

机构：

[1] Univ Jordan, Dept Comp Informat Syst, Aqaba, Jordan

[2] Univ Jordan, Dept Business Adm, Aqaba, Jordan

[3] Univ Jordan, Dept Risk Management & Insurance, Aqaba, Jordan

来源：

ITALIAN JOURNAL OF PURE AND APPLIED MATHEMATICS | 2019年 / 42期

关键词：

volatility; insurance time series data; wavelet transform;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Nowadays, the volatility of stock market data have contributed an essential section in risk study. Volatility is measured by standard deviation of the return. This study explores volatility event for the insurance time series data from Amman Stock Exchange (ASE). Wavelet models (WT) have used in order to study the events in the volatility data that collected from 2010 to 2018. Therefore, the researchers found that WT is a suitable model in studying the volatility data.

引用

页码：965 / 970

页数：6

共 50 条

[41] Fatigue Data Analysis using Continuous Wavelet Transform and Discrete Wavelet Transform
Abdullah, S.
Sahadan, S. N.
Nuawi, M. Z.
Nopiah, Z. M.
FRACTURE AND STRENGTH OF SOLIDS VII, PTS 1 AND 2, 2011, 462-463 : 461 - 466
[42] Multiple time scales analysis of hydrological time series with wavelet transform
Wang, Wen-Sheng
Ding, Jing
Xiang, Hong-Lian
Sichuan Daxue Xuebao (Gongcheng Kexue Ban)/Journal of Sichuan University (Engineering Science Edition), 2002, 34 (06):
[43] Blind feature extraction for time-series classification using Haar wavelet transform
Zhang, H
Ho, TB
Huang, W
ADVANCES IN NEURAL NETWORKS - ISNN 2005, PT 2, PROCEEDINGS, 2005, 3497 : 605 - 610
[44] Corrosion Time Series Classification using the Continuous Wavelet Transform and MML Density Estimation
Van Dijck, G.
Wevers, M.
Van Hulle, M. M.
PROCEEDINGS OF WORLD ACADEMY OF SCIENCE, ENGINEERING AND TECHNOLOGY, VOL 1, 2007, 1 : 25 - +
[45] Assessing the similarity between time series using a Wavelet transform: application and interpretability aspects
Rocha, T.
Paredes, S.
Carvalho, P.
Henriques, J.
2014 IEEE-EMBS INTERNATIONAL CONFERENCE ON BIOMEDICAL AND HEALTH INFORMATICS (BHI), 2014, : 652 - 655
[46] Music Recommendation System Using the Time-series Discrete Wavelet Transform and the FastICA
Horiike, K.
Yoshitomi, Y.
Tokuyama, T.
Tabuse, M.
PROCEEDINGS OF THE SIXTEENTH INTERNATIONAL SYMPOSIUM ON ARTIFICIAL LIFE AND ROBOTICS (AROB 16TH '11), 2011, : 237 - 240
[47] Climate signal detection using wavelet transform: How to make a time series sing
Lau, KM
Weng, H
BULLETIN OF THE AMERICAN METEOROLOGICAL SOCIETY, 1995, 76 (12) : 2391 - 2402
[48] Multiscale Oscillations of the Global Climate System as Revealed by Wavelet Transform of Observational Data Time Series
D. M. Sonechkin
N. M. Astafyeva
N. M. Datsenko
N. N. Ivachtchenko
B. Jakubiak
Theoretical and Applied Climatology, 1999, 64 : 131 - 142
[49] Multiscale oscillations of the global climate system as revealed by wavelet transform of observational data time series
Sonechkin, DM
Astafyeva, NM
Datsenko, NM
Ivachtchenko, NN
Jakubiak, B
THEORETICAL AND APPLIED CLIMATOLOGY, 1999, 64 (1-2) : 131 - 142
[50] Stochastic Volatility Modeling of Daily Streamflow Time Series
Wang, Huimin
Song, Songbai
Zhang, Gengxi
Ayantobo, Olusola O.
Guo, Tianli
WATER RESOURCES RESEARCH, 2023, 59 (01)

← 1 2 3 4 5 →