论文信息 - A Stochastic Nonlinear Regression Estimator Using Wavelets

A Stochastic Nonlinear Regression Estimator Using Wavelets

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.

Zuohong Pan | Xiaodi Wang

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