Modelling and forecasting by wavelets, and the application to exchange rates
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DOI: 10.1080/0266476032000053664
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Cited by:
- Lakhwinder Pal Singh & Ravi Teja Challa, 2016. "Integrated Forecasting Using the Discrete Wavelet Theory and Artificial Intelligence Techniques to Reduce the Bullwhip Effect in a Supply Chain," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 17(2), pages 157-169, June.
- Milan Bašta, 2014. "Additive Decomposition and Boundary Conditions in Wavelet-Based Forecasting Approaches," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(2), pages 48-70.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013.
"Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,"
Energy Economics, Elsevier, vol. 39(C), pages 13-27.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
- Deniz Kenan Kılıç & Ömür Uğur, 2018. "Multiresolution analysis of S&P500 time series," Annals of Operations Research, Springer, vol. 260(1), pages 197-216, January.
- Indranil Ghosh & Tamal Datta Chaudhuri, 2017. "Fractal Investigation and Maximal Overlap Discrete Wavelet Transformation (MODWT)-based Machine Learning Framework for Forecasting Exchange Rates," Studies in Microeconomics, , vol. 5(2), pages 105-131, December.
- Ramazan Gencay & Ege Yazgan, 2017. "When Are Wavelets Useful Forecasters?," Working Papers 1704, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Gandjon Fankem, Gislain Stéphane & Fouda Mbesa, Lucien Cédric, 2023. "Business cycle synchronization and African monetary union: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 77(C).
- Joanna Janczura & Rafał Weron, 2012.
"Efficient estimation of Markov regime-switching models: An application to electricity spot prices,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- António Rua, 2011.
"A wavelet approach for factor‐augmented forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 666-678, November.
- António Rua, 2010. "A Wavelet Approach for Factor-Augmented Forecasting," Working Papers w201007, Banco de Portugal, Economics and Research Department.
- Weron, Rafal & Janczura, Joanna, 2010.
"Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices,"
MPRA Paper
26628, University Library of Munich, Germany.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Bruzda, Joanna, 2011. "Some aspects of the discrete wavelet analysis of bivariate spectra for business cycle synchronisation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-46.
- Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
- Zhifeng Dai & Jie Kang & Hua Yin, 2023. "Forecasting equity risk premium: A new method based on wavelet de‐noising," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4331-4352, October.
- Luís Aguiar-Conraria & Maria Joana Soares, 2014. "The Continuous Wavelet Transform: Moving Beyond Uni- And Bivariate Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 344-375, April.
- Schlüter, Stephan & Deuschle, Carola, 2010. "Using wavelets for time series forecasting: Does it pay off?," FAU Discussion Papers in Economics 04/2010, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- João Martins, 2022. "Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 189-214, July.
- Joanna Bruzda, 2020. "The wavelet scaling approach to forecasting: Verification on a large set of Noisy data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 353-367, April.
- M. H. Lee & H. J. Sadaei & Suhartono, 2013. "Improving TAIEX forecasting using fuzzy time series with Box--Cox power transformation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(11), pages 2407-2422, November.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Abid, Fathi & Kaffel, Bilel, 2018. "Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1028-1045.
- Yousefi, Shahriar & Weinreich, Ilona & Reinarz, Dominik, 2005. "Wavelet-based prediction of oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 25(2), pages 265-275.
- Fernandez, Viviana, 2007. "Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry," Resources Policy, Elsevier, vol. 32(1-2), pages 80-89.
- Boryana Bogdanova & Ivan Ivanov, 2016. "A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(4), pages 655-673, March.
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