A wavelet-based approach for modelling exchange rates

DOI10.1007/S10260-010-0152-XMaRDI QIDQ719004zbMATH OpenOpenAlexFDO

Authors Boubaker Heni, Boutahar Mohamed

Publication date 27 September 2011

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-010-0152-x

zbMATH Keywords

exchange ratesforecastingGARMA-FIGARCHwavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• A k-Factor GARMA Long-memory Model
• A theory for multiresolution signal decomposition: the wavelet representation
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating a generalized long memory process
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Further evidence on breaking trend functions in macroeconomic variables
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Minimum-bandwidth discrete-time wavelets
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• ON GENERALIZED FRACTIONAL PROCESSES
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(6)

• Driving factors of interactions between the exchange rate market and the commodity market: a wavelet-based complex network perspective
• Estimation of long memory in volatility using wavelets
• Time-varying persistence of inflation: evidence from a wavelet-based approach
• scientific article; zbMATH DE number 5002334 (Why is no real title available?)
• Modelling and forecasting by wavelets, and the application to exchange rates
• Maximum overlap discrete wavelet methods in modeling banking data

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