Predicting index returns with morphological filters

DOI10.1023/A:1017990704200zbMATH Open0880.90024OpenAlexW1546891801MaRDI QIDQ1360063

O. Diekmann

Publication date: 15 July 1997

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017990704200

zbMATH Keywords

measuresheteroscedasticitymorphological filtersempirical financial studiespredicting stock index return

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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