IDEAS home Printed from https://ideas.repec.org/a/wly/jforec/v35y2016i5p419-433.html

Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis

Author

Listed:
  • Theo Berger

Abstract

No abstract is available for this item.

Suggested Citation

  • Theo Berger, 2016. "Forecasting Based on Decomposed Financial Return Series: A Wavelet Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 419-433, August.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:5:p:419-433
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pierre Rostan, Alexandra Rostan, 2025. "How the post-COVID-19 US economy lost and then regained momentum against the Eurozone economy," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 22(1), pages 129-174, June.
    2. Li, Haohua & Mei, Yuhe & Hao, Xianfeng & Chen, Zhuo, 2024. "Out-of-sample equity premium predictability: An EMD-denoising based model," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    3. Dockery, Everton & Efentakis, Miltiadis & Al-Faryan, Mamdouh Abdulaziz Saleh, 2018. "Are range based models good enough? Evidence from seven stock markets," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 8(2), pages 7-40.
    4. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    5. Martins, Manuel Mota Freitas & Verona, Fabio, 2020. "Forecasting inflation with the New Keynesian Phillips curve: Frequency matters," Bank of Finland Research Discussion Papers 4/2020, Bank of Finland.
    6. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
    7. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Research Discussion Papers 2/2020, Bank of Finland.
    8. Joanna Bruzda, 2020. "The wavelet scaling approach to forecasting: Verification on a large set of Noisy data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 353-367, April.
    9. Lihki Rubio & Adriana Palacio Pinedo & Adriana Mejía Castaño & Filipe Ramos, 2023. "Forecasting volatility by using wavelet transform, ARIMA and GARCH models," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(3), pages 803-830, December.
    10. Lubik, Thomas A. & Matthes, Christian & Verona, Fabio, 2019. "Assessing U.S. aggregate fluctuations across time and frequencies," Bank of Finland Research Discussion Papers 5/2019, Bank of Finland.
    11. Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
    12. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
    13. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    14. Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
    15. Pierre Rostan & Alexandra Rostan, 2024. "How Australia's economy gained momentum because of Covid‐19," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 36-58, March.
    16. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
    17. Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
    18. Alexandridis, Antonios K. & Panopoulou, Ekaterini & Souropanis, Ioannis, 2024. "Forecasting exchange rate volatility: An amalgamation approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
    19. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
    20. Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Wei, Yu & Kong, Mengzhen, 2024. "Does mixed frequency variables help to forecast value at risk in the crude oil market?," Resources Policy, Elsevier, vol. 88(C).
    21. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
    22. Manuel M. F. Martins & Fabio Verona, 2020. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters," CEF.UP Working Papers 2001, Universidade do Porto, Faculdade de Economia do Porto.
    23. Kim C. Raath & Katherine B. Ensor, 2023. "Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 150-176, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jforec:v:35:y:2016:i:5:p:419-433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.