Reinmuth, J.E., and Geu rts, M.D., "Us ing Spectra l Analysis for Forecast Mode l Selection." Decision Sciences, Vol. 8 No. 1 (1977), pp. 134-150.  Home/Search   Document Not in Database   Summary   Related Articles

....The number of frequencies is a function of the bandwidth, which is explained below, and the number of observations. The narrower the bandwidth, the greater the number of frequencies. The fewer the observations, the less the number of frequencies. Spectral methods are robust to outliers (see Reinmuth and Geurts (1977)) The October 1987 data possess outliers for the volatility measure. 8 (2) other contracts, but the S P 500 often has a lower standard deviation of vo latility. The S P 500 contract also has a much larger number of ticks , showing it to be the most active contrac t. The smaller number of ....

Reinmuth, J.E., and Geu rts, M.D., "Us ing Spectra l Analysis for Forecast Mode l Selection." Decision Sciences, Vol. 8 No. 1 (1977), pp. 134-150.

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