Forecasting using locally stationary wavelet processes
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Publication:3401362
DOI10.1080/00949650802087003zbMath1179.62135OpenAlexW2074804181MaRDI QIDQ3401362
Publication date: 29 January 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650802087003
sensitivity analysisGARCHvolatility forecastingnon-decimated waveletslocally stationary wavelet processes
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Uses Software
Cites Work
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- Conditional Heteroskedasticity Driven by Hidden Markov Chains
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- A Haar–Fisz technique for locally stationary volatility estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Ten Lectures on Wavelets
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