Exchange rate forecasting with optimum singular spectrum analysis

DOI10.1007/S11424-014-3303-6zbMath1294.93039OpenAlexW1981419029MaRDI QIDQ741878

Masoud Yarmohammadi, Mansi Ghodsi

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-014-3303-6

zbMATH Keywords

forecastingoptimalexchange ratesingular valuesingular spectrum analysiswindow length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Eigenvalue problems (93B60)

Related Items (1)

Smoothing non-stationary time series using the discrete cosine transform

Uses Software

• CaterpillarSSA

Cites Work

• A review on singular spectrum analysis for economic and financial time series
• Extracting fetal heart signal from noisy maternal ECG by multivariate singular spectrum analysis
• Relationship between singular spectrum analysis and Fourier analysis: theory and application to the monitoring of volcanic activity
• Separability and window length in singular spectrum analysis
• Predicting daily exchange rate with singular spectrum analysis
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
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