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Semiparametric generalized long-memory modeling of some mena stock market returns : a wavelet approach

Boubaker, Heni; Sghaier, Nadia - In: Economic modelling 50 (2015), pp. 254-265

Persistent link: https://www.econbiz.de/10011440563

Wavelet estimation of Gegenbauer processes : simulation and empirical application

Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574

Persistent link: https://www.econbiz.de/10011478889

Wavelet estimation performance of fractional integrated processes with heavy-tails

Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498

Persistent link: https://www.econbiz.de/10012223642

A generalized ARFIMA model with smooth transition fractional integration parameter

Boubaker, Heni - In: Journal of time series econometrics 10 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011817682

A comparative study of the performance of estimating long-memory parameter using wavelet-based entropies

Boubaker, Heni - In: Computational economics 48 (2016) 4, pp. 693-731

Persistent link: https://www.econbiz.de/10011713102

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting

Boubaker, Heni - 2020

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete MODWT with Daubechies least asymmetric...

Persistent link: https://www.econbiz.de/10012827248