Application of wavelet decomposition in time-series forecasting

DOI10.1016/J.ECONLET.2017.06.010MaRDI QIDQ1782354zbMATH OpenOpenAlexFDO

Authors Keyi Zhang, Ramazan Gençay, M. Ege Yazgan

Publication date 20 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.06.010

zbMATH Keywords

combining forecastsreconciling forecastswavelet decompositionhierarchical time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and prediction (62M20)

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Cites work

• An introduction to wavelets and other filtering methods in finance and economics
• An investigation of aggregate variable time series forecast strategies with specific subaggregate time series statistical correlation
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Fast computation of reconciled forecasts for hierarchical and grouped time series
• Forecasting contemporal aggregates of multiple time series
• Forecasting inflation using commodity price aggregates
• Optimal combination forecasts for hierarchical time series
• When is an aggregate of a time series efficiently forecast by its past?

Cited in

(10)

• On the use of the wavelet decomposition for time series prediction
• Recovering cointegration via wavelets in the presence of non-linear patterns
• A WAVELET TRANSFER MODEL FOR TIME SERIES FORECASTING
• Insights into the appropriate level of disaggregation for efficient time series model forecasting
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• Dummy variable technique in forecasting modeling
• scientific article; zbMATH DE number 6470793 (Why is no real title available?)
• scientific article; zbMATH DE number 6731239 (Why is no real title available?)
• Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
• Enhancing the predictability of crude oil markets with hybrid wavelet approaches

Describes a project that uses

Uses Software

• Forecast
• forecast

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