Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Yi-Ting Chen, Wan-Ni Lai, Edward W. Sun
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Yi-Ting ; Lai, Wan-Ni ; Sun, Edward W. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 2, p. 809-844
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| Subject: | Convex optimization | Forecasting | High-frequency data | Jump detection | Reinforcement learning | Wavelet | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Volatilität | Volatility | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09881-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134380