Forecasting using locally stationary wavelet processes
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GARCHlocally stationary wavelet processesnon-decimated waveletssensitivity analysisvolatility forecasting
Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A Haar–Fisz technique for locally stationary volatility estimation
- Adaptive covariance estimation of locally stationary processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Conditional heteroskedasticity driven by hidden Markov chains
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Fitting time series models to nonstationary processes
- Forecasting non-stationary time series by wavelet process modelling
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 1470722 (Why is no real title available?)
- scientific article; zbMATH DE number 914370 (Why is no real title available?)
- Statistical inference for time-inhomogeneous volatility models.
- Ten Lectures on Wavelets
Cited in
(8)- Practical powerful wavelet packet tests for second-order stationarity
- Locally stationary wavelet packet processes: basis selection and model fitting
- Forecasting non-stationary time series by wavelet process modelling
- Wavelet multidimensional scaling analysis of European economic sentiment indicators
- Nonstationary time series forecasting using wavelets and kernel smoothing
- Case study: shipping trend estimation and prediction via multiscale variance stabilisation
- A note on the effect of wavelet choice on the estimation of the evolutionary wavelet spectrum
- Automatic locally stationary time series forecasting with application to predicting UK gross value added time series
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