Forecasting using locally stationary wavelet processes
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Publication:3401362
DOI10.1080/00949650802087003zbMath1179.62135MaRDI QIDQ3401362
Publication date: 29 January 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650802087003
sensitivity analysis; GARCH; volatility forecasting; non-decimated wavelets; locally stationary wavelet processes
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
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Uses Software
Cites Work
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