Predicting daily exchange rate with singular spectrum analysis

DOI10.1016/j.nonrwa.2009.05.008zbMath1188.62297OpenAlexW2003528009MaRDI QIDQ974621

Hossein Hassani, Abdol S. Soofi, Anatoly A. Zhigljavsky

Publication date: 3 June 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.2009.05.008

zbMATH Keywords

VARsingular spectrum analysisrandom walk modelDiebold-Mariano test statisticforecasting exchange rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

Related Items (8)

Predicting global temperature anomaly: a definitive investigation using an ensemble of twelve competing forecasting models ⋮ A Review of Some Modern Approaches to the Problem of Trend Extraction ⋮ Singular spectrum analysis based on the perturbation theory ⋮ Forecasting before, during, and after recession with singular spectrum analysis ⋮ A study of singular spectrum analysis with global optimization techniques ⋮ Exchange rate forecasting with optimum singular spectrum analysis ⋮ Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach ⋮ Dependence measures for model selection in singular spectrum analysis

Uses Software

• CaterpillarSSA

Cites Work

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• Mapping the channels of communication between the tropics and higher latitudes in the atmosphere
• PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

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