On the predictive information of futures' prices : a wavelet-based assessment
Year of publication: |
July 2017
|
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Authors: | Herwartz, Helmut ; Schlüter, Stephan |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 4, p. 345-356
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Subject: | denoising | forecasting | futures prices | wavelet transform | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Rohstoffderivat | Commodity derivative | Prognose | Forecast | Derivat | Derivative | Warenbörse | Commodity exchange |
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