The versatility of spectrum analysis for forecasting financial time series

The versatility of the one‐dimensional discrete wavelet analysis combined with wavelet and Burg extensions for forecasting financial times series with distinctive properties is illustrated with market data. Any time series of financial assets may be decomposed into simpler signals called approximati...

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Veröffentlicht in:	Journal of forecasting 2018-04, Vol.37 (3), p.327-339
Hauptverfasser:	Rostan, Pierre, Rostan, Alexandra
Format:	Artikel
Sprache:	eng
Schlagworte:	econometric modeling financial econometrics financial time series Forecasting forecasting and prediction methods mathematical and quantitative methods Spectrum analysis Time series Wavelet transforms
Online-Zugang:	Volltext
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