A Stochastic Nonlinear Regression Estimator Using Wavelets

Zuohong Pan and Xiaodi Wang

Computational Economics, 1998, vol. 11, issue 1-2, 89-102

Abstract: A new wavelet-based estimator is introduced which combines the state-space model with the wavelet transform in an effort to explore the stock market inefficiency. The new estimator possesses some superior qualities that are illustrated through its actual performance in forecasting the S&P 500. Citation Copyright 1998 by Kluwer Academic Publishers.

Date: 1998
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