Predicting index returns with morphological filters

DOI10.1023/A:1017990704200MaRDI QIDQ1360063zbMATH OpenOpenAlexFDO

Authors O. Diekmann

Publication date 15 July 1997

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1017990704200

zbMATH Keywords

empirical financial studiesheteroscedasticitymeasuresmorphological filterspredicting stock index return

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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