Wavelet-based prediction of oil prices
From MaRDI portal
Publication:2483615
DOI10.1016/j.chaos.2004.11.015zbMath1136.91571MaRDI QIDQ2483615
Shahriar Yousefi, Ilona Weinreich, Dominik Reinarz
Publication date: 25 July 2005
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2004.11.015
Related Items
A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe, A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters, Relationship of \(d\)-dimensional continuous multi-scale wavelet shrinkage with integro-differential equations, A noise-robust algorithm for classifying cyclic and dihedral symmetric images, Efficient estimation of Markov regime-switching models: an application to electricity spot prices, Multiresolution analysis of S\&P500 time series, De-noising option prices with the wavelet method, Emergence of turbulent epochs in oil prices, Revealing the implied risk-neutral MGF from options: the wavelet method, A Wavelet Based Multi Scale VaR Model for Agricultural Market
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A wavelet-based nonparametric estimator of the variance function
- Forecasting non-stationary time series by wavelet process modelling
- Predicting economic time series using a nonlinear deterministic technique
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS
- An Approximate Wavelet MLE of Short- and Long-Memory Parameters
- Wavelets in Economics and Finance: Past and Future
- A theory for multiresolution signal decomposition: the wavelet representation
- Modelling and forecasting by wavelets, and the application to exchange rates
- An illustration of the causality relation between government spending and revenue using wavelet analysis on Finnish data
- Decomposition of Hardy Functions into Square Integrable Wavelets of Constant Shape
- Orthonormal bases of compactly supported wavelets
- Ten Lectures on Wavelets
- AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS
- A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION
- Structural Tests in Additive Regression
- Test of Significance When Data Are Curves
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Systematic risk and timescales
