A wavelet approach for factor-augmented forecasting
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Publication:3096858
DOI10.1002/for.1200zbMath1225.91049OpenAlexW2038941982MaRDI QIDQ3096858
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
Inference from stochastic processes and spectral analysis (62M15) Statistical methods; economic indices and measures (91B82)
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Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ Forecasting time series with genetic programming based on least square method ⋮ Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation
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- Econometric Evaluation of Linear Macro-Economic Models
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- 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
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