Improving model performance with the integrated wavelet denoising method
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Publication:2687882
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Cites work
- A new wavelet-based denoising algorithm for high-frequency financial data mining
- A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
- A theory for multiresolution signal decomposition: the wavelet representation
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- Adapting to Unknown Smoothness via Wavelet Shrinkage
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- Computing continuous-time growth models with boundary conditions via wavelets
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- De-noising option prices with the wavelet method
- Errors-in-variables estimation with wavelets
- Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes
- High frequency trading, liquidity, and execution cost
- scientific article; zbMATH DE number 5002328 (Why is no real title available?)
- scientific article; zbMATH DE number 2038794 (Why is no real title available?)
- scientific article; zbMATH DE number 3794378 (Why is no real title available?)
- scientific article; zbMATH DE number 5042883 (Why is no real title available?)
- Ideal spatial adaptation by wavelet shrinkage
- Incorporating information on neighbouring coefficients into wavelet estimation
- Jump detection with wavelets for high-frequency financial time series
- Minimax estimation via wavelet shrinkage
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
- Private Information and High-Frequency Stochastic Volatility
- Singularity detection and processing with wavelets
- Systematic risk and timescales
- Ten Lectures on Wavelets
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
- The yield curve and the macro-economy across time and frequencies
- UNIT ROOT TESTS WITH WAVELETS
- Wavelet Transforms and Commodity Prices
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
- Wavelets in Economics and Finance: Past and Future
Cited in
(5)- De-noising option prices with the wavelet method
- Comonotonicity and low volatility effect
- Coherent quality management for big data systems: a dynamic approach for stochastic time consistency
- A new wavelet-based denoising algorithm for high-frequency financial data mining
- A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
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