A wavelet approach for factor-augmented forecasting
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Publication:3096858
DOI10.1002/FOR.1200zbMATH Open1225.91049OpenAlexW2038941982MaRDI QIDQ3096858FDOQ3096858
Authors: António Rua 
Publication date: 15 November 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201007.pdf
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Cites Work
- Title not available (Why is that?)
- Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
- Forecasting Using Principal Components From a Large Number of Predictors
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Econometric Evaluation of Linear Macro-Economic Models
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
- Modelling and forecasting by wavelets, and the application to exchange rates
- Measuring business cycles: a wavelet analysis of economic time series
- The International CAPM and a Wavelet-Based Decomposition of Value at Risk
- CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS
Cited In (9)
- Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
- Forecasting time series with genetic programming based on least square method
- Interest rate spreads and output: a time scale decomposition analysis using wavelets
- Industrial data forecasting using discrete wavelet transform
- Forecasting using locally stationary wavelet processes
- Causal structure among US corn futures and regional cash prices in the time and frequency domain
- Removing forecasting errors with white Gaussian noise after square root transformation
- Wavelet estimation for factor models with time-varying loadings
- Nonlinear Forecasting Using Factor‐Augmented Models
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