메뉴 건너뛰기




Volumn , Issue , 2006, Pages 603-609

Wavelet-based relevance vector machines for stock index forecasting

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN NETWORKS; NEURAL NETWORKS; TIME SERIES ANALYSIS; WAVELET ANALYSIS;

EID: 40649091136     PISSN: 10987576     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (3)

References (36)
  • 1
    • 0031537382 scopus 로고    scopus 로고
    • The analysis of foreign exchange data using waveform dictionaries
    • Ramsey, J. B. and Zhang, Z., The analysis of foreign exchange data using waveform dictionaries. Journal of Empirical Finance, 1997; 4: 341-372.
    • (1997) Journal of Empirical Finance , vol.4 , pp. 341-372
    • Ramsey, J.B.1    Zhang, Z.2
  • 3
    • 0032368102 scopus 로고    scopus 로고
    • Decomposition of economic relationships by timescale using wavelets
    • Ramsey, J. B., and Lampart, C., Decomposition of economic relationships by timescale using wavelets, Macroeconomic Dynamics, 1998: 2: 49-71.
    • (1998) Macroeconomic Dynamics , vol.2 , pp. 49-71
    • Ramsey, J.B.1    Lampart, C.2
  • 4
    • 0141700504 scopus 로고    scopus 로고
    • The decomposition of economic relationships by time scale using wavelets: Expenditure and income
    • Ramsey, J. B., and Lampart, C., The decomposition of economic relationships by time scale using wavelets: Expenditure and income, Studies in Nonlinear Dynamics and Econometrics, 1998: 3: 23-42.
    • (1998) Studies in Nonlinear Dynamics and Econometrics , vol.3 , pp. 23-42
    • Ramsey, J.B.1    Lampart, C.2
  • 5
    • 0008826163 scopus 로고    scopus 로고
    • A stochastic nonlinear regression estimator using wavelets
    • Pan, Z., and Wang, X., A stochastic nonlinear regression estimator using wavelets, Computational Economics, 1998: 11: 89-102.
    • (1998) Computational Economics , vol.11 , pp. 89-102
    • Pan, Z.1    Wang, X.2
  • 6
    • 0035149344 scopus 로고    scopus 로고
    • Scaling properties of foreign exchange volatility
    • Gençay, R., Selçuk, F., and Whitcher, B., Scaling properties of foreign exchange volatility, Physica, 2001: 289: 249V266.
    • (2001) Physica , vol.289
    • Gençay, R.1    Selçuk, F.2    Whitcher, B.3
  • 9
    • 33644623204 scopus 로고    scopus 로고
    • The hedge ratio and the empirical relationship between the stock and futures markets: A new approach using wavelet analysis
    • forthcoming
    • In. F. and Kim, S., The hedge ratio and the empirical relationship between the stock and futures markets: A new approach using wavelet analysis, Journal of Business, (forthcoming).
    • Journal of Business
    • In, F.1    Kim, S.2
  • 10
    • 14844357269 scopus 로고    scopus 로고
    • The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
    • Article 4
    • Kim, S. and In. F., The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses, Studies in Nonlinear Dynamics and Econometrics, 2003: 7, Article 4.
    • (2003) Studies in Nonlinear Dynamics and Econometrics , pp. 7
    • Kim, S.1    In, F.2
  • 11
    • 33746354285 scopus 로고    scopus 로고
    • a wavelet analysis
    • International transmission of stock market movements
    • Lee, S. H., International transmission of stock market movements: a wavelet analysis, Applied Economics Letters, 2004; 11: 197-201.
    • (2004) Applied Economics Letters , vol.11 , pp. 197-201
    • Lee, S.H.1
  • 12
    • 14844346259 scopus 로고    scopus 로고
    • Wavelet-based beta estimation and Japanese industrial stock prices
    • Yamada, H., Wavelet-based beta estimation and Japanese industrial stock prices, Applied Economics Letters, 2005: 12: 85-88.
    • (2005) Applied Economics Letters , vol.12 , pp. 85-88
    • Yamada, H.1
  • 13
    • 0000393458 scopus 로고
    • Back-Propagation neural nets as models for time series forecasting
    • Tang, Z. and Fishwich, P. A., Back-Propagation neural nets as models for time series forecasting, ORSA Journal on Computing, 1993: 5(4): 374-385.
    • (1993) ORSA Journal on Computing , vol.5 , Issue.4 , pp. 374-385
    • Tang, Z.1    Fishwich, P.A.2
  • 14
    • 0029749074 scopus 로고    scopus 로고
    • Stock market trend prediction using ARIMA-based neural networks
    • Wang, J. H. and Leu, J. Y., Stock market trend prediction using ARIMA-based neural networks, Proc. of IEEE Int. Conf. on Neural Networks. 1996; 4: 2160-2165.
    • (1996) Proc. of IEEE Int. Conf. on Neural Networks , vol.4 , pp. 2160-2165
    • Wang, J.H.1    Leu, J.Y.2
  • 15
    • 0034283989 scopus 로고    scopus 로고
    • A case study on using neural networks to perform technical forecasting of forex
    • Yao, J. and Tan, C. L., A case study on using neural networks to perform technical forecasting of forex, Neurocomputing, 2000: 34: 79-98.
    • (2000) Neurocomputing , vol.34 , pp. 79-98
    • Yao, J.1    Tan, C.L.2
  • 16
    • 0035391062 scopus 로고    scopus 로고
    • Multi-agent modeling of multiple FX-markets by neural networks
    • Zimmermann, H., Neuneier, R. and Grothmann, R., Multi-agent modeling of multiple FX-markets by neural networks. IEEE Trans. Neural Networks, 2001; 12(4): 735-743.
    • (2001) IEEE Trans. Neural Networks , vol.12 , Issue.4 , pp. 735-743
    • Zimmermann, H.1    Neuneier, R.2    Grothmann, R.3
  • 17
    • 0032133950 scopus 로고    scopus 로고
    • Neural network forecasting of the British Pound/US Dollar exchange rate
    • Zhang, G. and Hu, M. Y. Neural network forecasting of the British Pound/US Dollar exchange rate, OMEGA: Int. Journal of Management Science, 1998; 26: 495-506.
    • (1998) OMEGA: Int. Journal of Management Science , vol.26 , pp. 495-506
    • Zhang, G.1    Hu, M.Y.2
  • 18
    • 0000393458 scopus 로고
    • Back-Propagation neural nets as models for time series forecasting
    • Tang, Z. and Fishwich, P. A., Back-Propagation neural nets as models for time series forecasting, ORSA Journal on Computing, 1993: 5(4): 374-385.
    • (1993) ORSA Journal on Computing , vol.5 , Issue.4 , pp. 374-385
    • Tang, Z.1    Fishwich, P.A.2
  • 20
    • 0000860595 scopus 로고    scopus 로고
    • Neural network models for time series forecasts
    • Hill, T., O'Connor, M. and Remus, W., Neural network models for time series forecasts, Management Science. 1996: 42: 1082-1092.
    • (1996) Management Science , vol.42 , pp. 1082-1092
    • Hill, T.1    O'Connor, M.2    Remus, W.3
  • 26
    • 0001224048 scopus 로고    scopus 로고
    • Sparse Bayesian learning and the relevance vector machine
    • Tipping, M. E., Sparse Bayesian learning and the relevance vector machine, J. Mach. Learning Res., 2001: 1: 211-244.
    • (2001) J. Mach. Learning Res , vol.1 , pp. 211-244
    • Tipping, M.E.1
  • 27
    • 0001025418 scopus 로고
    • Bayesian interpolation
    • MacKay, D. J. C., Bayesian interpolation. Neural Comput., 1992; 4(3): 415-447.
    • (1992) Neural Comput , vol.4 , Issue.3 , pp. 415-447
    • MacKay, D.J.C.1
  • 28
    • 0000234257 scopus 로고
    • The evidence framework applied to classification networks
    • MacKay, D. J. C., The evidence framework applied to classification networks, Neural Comput., 1992; 4: 720-736.
    • (1992) Neural Comput , vol.4 , pp. 720-736
    • MacKay, D.J.C.1
  • 30
    • 11244346944 scopus 로고
    • An Introduction to Wavelets
    • Boston, MA
    • Chui, C. K., An Introduction to Wavelets. Academic Press, Boston, MA, 1992.
    • (1992) Academic Press
    • Chui, C.K.1
  • 34
    • 80051787494 scopus 로고    scopus 로고
    • An introduction to wavelets and other filtering methods in finance and economics
    • London
    • Gençay, R., Selçuk, F., and Whitcher, B., An introduction to wavelets and other filtering methods in finance and economics. Academic Press, London, 2002.
    • (2002) Academic Press
    • Gençay, R.1    Selçuk, F.2    Whitcher, B.3
  • 35
    • 40649102921 scopus 로고    scopus 로고
    • Applied Wavelet Analysis with SPLUS
    • New York
    • Bruce, A. and Gao, H. Y., Applied Wavelet Analysis with SPLUS, Springer-Verlag, New York, 1996.
    • (1996) Springer-Verlag
    • Bruce, A.1    Gao, H.Y.2
  • 36
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T., Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 1986; 31: 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.