Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces

DOI10.1016/j.nonrwa.2009.11.009zbMath1195.91168MaRDI QIDQ984604

Laurent Gosse

Publication date: 20 July 2010

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2009.11.009

zbMATH Keywords

multi-resolution analysis; wavelet decomposition; empirical finance; scale-limited extrapolation

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Effective band-limited extrapolation relying on Slepian series and \(\ell^1\) regularization, A Donoho-Stark criterion for stable signal recovery in discrete wavelet subspaces, Approximation based on orthogonal and almost orthogonal functions

Uses Software

• wmtsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the convergence of wavelet-based iterative signal extrapolation algorithms
• Ondelettes sur l'intervalle. (Wavelets on the interval)
• Wavelets on the interval and fast wavelet transforms
• On theory and regularization of scale-limited extrapolation
• Prolate spheroidal wave functions, an introduction to the Slepian series and its properties
• Non-uniform weighted average sampling and reconstruction in shift-invariant and wavelet spaces
• Forecasting non-stationary time series by wavelet process modelling
• Applied functional analysis. Applications to mathematical physics. Vol. 1
• Nonuniform Sampling and Reconstruction in Shift-Invariant Spaces
• Uncertainty Principles and Signal Recovery
• Extrapolation algorithms for discrete signals with application in spectral estimation
• A generalization of the prolate spheroidal wave functions
• Signal Extrapolation in Wavelet Subspaces
• Sampling-50 years after Shannon
• Empirical properties of asset returns: stylized facts and statistical issues
• The contribution of wavelets to the analysis of economic and financial data
• On the limit of sampled signal extrapolation with a wavelet signal model^∗
• FORECASTING TIME SERIES USING WAVELETS
• Applications of reproducing kernel Hilbert spaces–bandlimited signal models