Exchange rate forecasting with optimum singular spectrum analysis

DOI10.1007/S11424-014-3303-6MaRDI QIDQ741878zbMATH OpenOpenAlexFDO

Authors Mansi Ghodsi, Masoud Yarmohammadi

Publication date 15 September 2014

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-3303-6

zbMATH Keywords

forecastingoptimalsingular valueexchange ratesingular spectrum analysiswindow length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Eigenvalue problems (93B60)

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Cites work

• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Extracting fetal heart signal from noisy maternal ECG by multivariate singular spectrum analysis
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• Markov switching models for time series data with dramatic jumps
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• Predicting daily exchange rate with singular spectrum analysis
• Relationship between singular spectrum analysis and Fourier analysis: theory and application to the monitoring of volcanic activity
• Separability and window length in singular spectrum analysis

Cited in

(4)

• Forecasting daily exchange rates: a comparison between SSA and MSSA
• Smoothing non-stationary time series using the discrete cosine transform
• Forecasting RMB exchange rate based on EEMD and SVR
• Predicting daily exchange rate with singular spectrum analysis

Describes a project that uses

Uses Software

• CaterpillarSSA

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