Modelling Profitabilities of Stock Indices Using Methods of Wavelet Analysis
The article considers specific features of European stock indices and conducts their comparative analysis. The goal of the study lies in localisation and description of crisis effects by time and scale in the dynamics of indices with the help of the wavelet transformation. This approach allows revelation of clusters of stock indices and study of their common and individual specific features. Combination of the wavelet-transformation, neural networks and SSA methods is used for forecasting dynamics of indices.
Volume (Year): (2013)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www.business-inform.net|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Enrico Capobianco, 2004. "Multiscale Analysis of Stock Index Return Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 219-237, 04.
- Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
- Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
When requesting a correction, please mention this item's handle: RePEc:idp:bizinf:y:2013:i:7:p:104_109. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexey Rystenko)
If references are entirely missing, you can add them using this form.