When Are Wavelets Useful Forecasters?
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More about this item
Keywords
Wavelets; Forecasting; High Frequency Data; Nonlinear Models; Maximum Overlap; Discrete Wavelet Transformation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-10-08 (Econometrics)
- NEP-ETS-2017-10-08 (Econometric Time Series)
- NEP-FOR-2017-10-08 (Forecasting)
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