- 期刊
An Instantaneous Frequency Analysis to Stock Returns in a Financial Crisis
並列摘要
Most of the classical time series analyses require the time series to be stationary and/or linear. However, financial time series are usually nonlinear and nonstationary. In this study, we use the Hilbert-Huang Transformation (HHT) to investigate the dairy return of several international stock markets from 2005 to 2010. The HHT approach mainly consists of application of the empirical mode decomposition (EMD) and the instantaneous frequency/phase analysis. We find that there is an obvious change in the behavior of the trading activity among these stock markets since the US sub-prime mortgage credit crunch in 2008.
延伸閱讀
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