Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
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Publication:5085572
DOI10.1080/03610926.2018.1535073OpenAlexW2906304120MaRDI QIDQ5085572FDOQ5085572
Authors: Siti Aisyah Mohammed, Mohd Aftar abu Bakar, Noratiqah Mohd Ariff 
Publication date: 27 June 2022
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1535073
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Cites Work
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Orthonormal bases of compactly supported wavelets
- The wavelet transform, time-frequency localization and signal analysis
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Wavelets in Economics and Finance: Past and Future
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- Statistical analysis of financial volatility by wavelet shrinkage
- The contribution of wavelets to the analysis of economic and financial data
- MODWT based time scale decomposition analysis of BSE and NSE indexes financial time series
- GARCH based artificial neural networks in forecasting conditional variance of stock returns
- Investment volatility: A critique of standard beta estimation and a simple way forward
- Forecasting study of Shanghai's and Shenzhen's stock markets using a hybrid forecast method
- Comparison of spectral and wavelet estimators of transfer function for linear systems.
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