Improving prediction of exchange rates using Differential EMD

Expert Systems with Applications

Volumn 40, Issue 1, 2013, Pages 377-384

  Premanode, Bhusana ^a   Toumazou, Chris ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Empirical Mode Decomposition; Exchange rates; Markov switching GARCH; Markov switching regression; Prediction; Support vector regression

Indexed keywords

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; AUTOREGRESSIVE MOVING AVERAGE; DATA SETS; EMPIRICAL MODE DECOMPOSITION; EXCHANGE RATES; FINANCIAL VARIABLES; KEY PARAMETERS; LINEAR PROCESS; MARKOV SWITCHING; NON-STATIONARY TIME SERIES; STATISTICAL LEARNING THEORY; SUPPORT VECTOR REGRESSION (SVR);

ALGORITHMS; FINANCE; FORECASTING; REGRESSION ANALYSIS; SIGNAL PROCESSING; SWITCHING; TIME SERIES;

COMPUTER SIMULATION;

EID: 84866101891     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2012.07.048     Document Type: Article

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