The versatility of spectrum analysis for forecasting financial time series

Pierre Rostan and Alexandra Rostan

Journal of Forecasting, 2018, vol. 37, issue 3, 327-339

Abstract: The versatility of the one†dimensional discrete wavelet analysis combined with wavelet and Burg extensions for forecasting financial times series with distinctive properties is illustrated with market data. Any time series of financial assets may be decomposed into simpler signals called approximations and details in the framework of the one†dimensional discrete wavelet analysis. The simplified signals are recomposed after extension. The final output is the forecasted time series which is compared to observed data. Results show the pertinence of adding spectrum analysis to the battery of tools used by econometricians and quantitative analysts for the forecast of economic or financial time series.

Date: 2018
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https://doi.org/10.1002/for.2504

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:37:y:2018:i:3:p:327-339

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