Christensen, Hugh L.; Godsill, Simon J. - In: International Journal of Computational Economics and … 4 (2014) 3/4, pp. 372-412
Prediction of future security returns is possible by decomposing a securities price into weighted superpositions of underlying basis states, given stationary distributions of the basis states. The (ensemble) Hilbert-Huang transform (HHT) is an empirical two-step online methodology which carries...