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Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry

  • Fernandez, Viviana

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Article provided by Elsevier in its journal Resources Policy.

Volume (Year): 32 (2007)
Issue (Month): 1-2 ()
Pages: 80-89

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Handle: RePEc:eee:jrpoli:v:32:y:2007:i:1-2:p:80-89
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  1. Fernandez Viviana P, 2005. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-37, December.
  2. Tay, Francis E. H. & Cao, Lijuan, 2001. "Application of support vector machines in financial time series forecasting," Omega, Elsevier, vol. 29(4), pages 309-317, August.
  3. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, November.
  4. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  5. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
  6. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
  7. Lin Shinn-Juh & Stevenson Maxwell, 2001. "Wavelet Analysis of the Cost-of-Carry Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
  8. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
  9. Connor Jeff & Rossiter Rosemary, 2005. "Wavelet Transforms and Commodity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-22, March.
  10. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  11. Fernandez, Viviana & Lucey, Brian M., 2007. "Portfolio management under sudden changes in volatility and heterogeneous investment horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 612-624.
  12. Lanza, Alessandro & Manera, Matteo & Giovannini, Massimo, 2005. "Modeling and forecasting cointegrated relationships among heavy oil and product prices," Energy Economics, Elsevier, vol. 27(6), pages 831-848, November.
  13. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
  14. Morana, Claudio, 2001. "A semiparametric approach to short-term oil price forecasting," Energy Economics, Elsevier, vol. 23(3), pages 325-338, May.
  15. Dooley, Gillian & Lenihan, Helena, 2005. "An assessment of time series methods in metal price forecasting," Resources Policy, Elsevier, vol. 30(3), pages 208-217, September.
  16. H. Wong & Wai-Cheung Ip & Zhongjie Xie & Xueli Lui, 2003. "Modelling and forecasting by wavelets, and the application to exchange rates," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(5), pages 537-553.
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