A wavelet-based approach for modelling exchange rates

DOI10.1007/s10260-010-0152-xzbMath1325.62167MaRDI QIDQ719004

Boutahar Mohamed, Boubaker Heni

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

wavelets; forecasting; exchange rates; GARMA-FIGARCH

Mathematics Subject Classification ID

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

Uses Software

• wmtsa

Cites Work

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