A wavelet-based approach for modelling exchange rates

DOI10.1007/S10260-010-0152-XzbMath1325.62167OpenAlexW2024441716MaRDI 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

waveletsforecastingexchange ratesGARMA-FIGARCH

Mathematics Subject Classification ID

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

Related Items (2)

Estimation of long memory in volatility using wavelets ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach

Uses Software

• wmtsa

Cites Work

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

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