A wavelet approach for factor-augmented forecasting

DOI10.1002/FOR.1200MaRDI QIDQ3096858zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

waveletsfactor modelsforecastingmulti-resolution decomposition

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS
• Determining the Number of Factors in Approximate Factor Models
• Econometric Evaluation of Linear Macro-Economic Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
• Measuring business cycles: a wavelet analysis of economic time series
• Modelling and forecasting by wavelets, and the application to exchange rates
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• The International CAPM and a Wavelet-Based Decomposition of Value at Risk

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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