Forecasting based on decomposed financial return series : a wavelet analysis
Theo Berger
| Year of publication: |
August 2016
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|---|---|
| Authors: | Berger, Theo |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 5, p. 419-433
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| Subject: | wavelet decomposition | extreme value theory | copulas | value-at-risk forecasts | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580976