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Volumn 30, Issue 5, 2003, Pages 537-553

Modelling and forecasting by wavelets, and the application to exchange rates

Author keywords

[No Author keywords available]

Indexed keywords

TIME SERIES ANALYSIS;

EID: 0037409708     PISSN: 02664763     EISSN: None     Source Type: Journal    
DOI: 10.1080/0266476032000053664     Document Type: Article
Times cited : (37)

References (22)
  • 2
    • 3042982523 scopus 로고    scopus 로고
    • Some uses of cumulants in wavelet analysis
    • BRILLINGER, D. R. (1996) Some uses of cumulants in wavelet analysis, Nonparametric Statistics, 6, pp. 93-114.
    • (1996) Nonparametric Statistics , vol.6 , pp. 93-114
    • Brillinger, D.R.1
  • 3
    • 0001098055 scopus 로고
    • The relationship between maximum entropy spectra and maximum likelihood spectra
    • BURG, J. P. (1972) The relationship between maximum entropy spectra and maximum likelihood spectra, Geophysics, 37, pp. 375-376.
    • (1972) Geophysics , vol.37 , pp. 375-376
    • Burg, J.P.1
  • 4
    • 0000575021 scopus 로고
    • Decomposition of seasonal time series: A model for the Census X-11 program
    • CLEVELAND, W. S. & TIAO, G. (1976) Decomposition of seasonal time series: a model for the Census X-11 program, Journal of the American Statistical Association, 71, pp. 581-587.
    • (1976) Journal of the American Statistical Association , vol.71 , pp. 581-587
    • Cleveland, W.S.1    Tiao, G.2
  • 7
    • 0028466653 scopus 로고
    • Wavelet representations of stochastic processes and multiresolution stochastic model
    • DIJKERMAN, R. W. & MAZUMDAR, R. R. (1994) Wavelet representations of stochastic processes and multiresolution stochastic model, IEEE Transactions on Signal Processing, 42(7), pp. 1640-1652.
    • (1994) IEEE Transactions on Signal Processing , vol.42 , Issue.7 , pp. 1640-1652
    • Dijkerman, R.W.1    Mazumdar, R.R.2
  • 10
    • 0001511064 scopus 로고
    • On estimating the hidden periodicities in linear models
    • HE, S. (1987) On estimating the hidden periodicities in linear models, Acta Mathematicae Applicatae Sinica, 3, pp. 168-179.
    • (1987) Acta Mathematicae Applicatae Sinica , vol.3 , pp. 168-179
    • He, S.1
  • 11
    • 0344772291 scopus 로고
    • Estimation of parameters in ARIMA models
    • LI, G. (1990) Estimation of parameters in ARIMA models, Acta Mathematicae Applicatae Sinica, 6(1), pp. 23-34.
    • (1990) Acta Mathematicae Applicatae Sinica , vol.6 , Issue.1 , pp. 23-34
    • Li, G.1
  • 12
    • 0031571390 scopus 로고    scopus 로고
    • The wavelet detection of hidden periodicities in time series
    • LI, Y. & XIE, Z. (1997) The wavelet detection of hidden periodicities in time series, Statistics and Probability Letters, 35, pp. 9-23.
    • (1997) Statistics and Probability Letters , vol.35 , pp. 9-23
    • Li, Y.1    Xie, Z.2
  • 13
    • 0033411275 scopus 로고    scopus 로고
    • The wavelet identification of thresholds and time delay of threshold autoregressive models
    • LI, Y. & XIE, Z. (1999) The wavelet identification of thresholds and time delay of threshold autoregressive models, Statistica Sinica, 9, pp. 153-166.
    • (1999) Statistica Sinica , vol.9 , pp. 153-166
    • Li, Y.1    Xie, Z.2
  • 16
    • 0027147153 scopus 로고
    • The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
    • MASRY, E. (1993) The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion, IEEE Transactions on Information Theory, 39, pp. 260-264.
    • (1993) IEEE Transactions on Information Theory , vol.39 , pp. 260-264
    • Masry, E.1
  • 20
    • 0027807710 scopus 로고
    • Time-varying system identification and model validation using wavelets
    • TSATSAN, M. K. & GIANNAKIS, G. B. (1993) Time-varying system identification and model validation using wavelets, IEEE Signal processing, 41(12), pp. 3512-3523.
    • (1993) IEEE Signal Processing , vol.41 , Issue.12 , pp. 3512-3523
    • Tsatsan, M.K.1    Giannakis, G.B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.