A wavelet approach for factor-augmented forecasting

DOI10.1002/FOR.1200zbMath1225.91049OpenAlexW2038941982MaRDI QIDQ3096858

António Rua

Publication date: 15 November 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201007.pdf

zbMATH Keywords

waveletsforecastingfactor modelsmulti-resolution decomposition

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective ⋮ Forecasting time series with genetic programming based on least square method ⋮ Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation

Cites Work

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• Modelling and forecasting by wavelets, and the application to exchange rates
• Econometric Evaluation of Linear Macro-Economic Models
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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