CHAPTER 4: "MODELLING FINANCIAL LOG-RETURN SERIES USING WAVELETS AND RESCALED TIME"
The functions have been written in S and designed for
Additionally, some of the functions require WaveThresh3,
a free add-on module for S-Plus written by Guy P. Nason.
Downloading and installing the functions and the data sets.
- Click here to download the archive
- Extract the archive. You will obtain the file "fints".
- Run S-Plus and type (in Windows) "data.restore("D:\\PATH\\fints")", where
D:\PATH is the directory containing "fints".
- The functions and the data sets are now available.
Alphabetic list of functions --- click on the name for help
Alphabetic list of data sets --- click on the name for description
Alphabetic list of time-varying local variance functions --- click on the name for