Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24061
Title: Modelling and forecasting by wavelets, and the application to exchange rates
Authors: Wong, H 
Ip, WC
Xie, Z
Lui, X
Issue Date: 2003
Publisher: Carfax Publishing
Source: Journal of applied statistics, 2003, v. 30, no. 5, p. 537-553 How to cite?
Journal: Journal of Applied Statistics 
Abstract: This paper investigates the modelling and forecasting method for nonstationary time series. Using wavelets, the authors propose a modelling procedure that decomposes the series as the sum of three separate components, namely trend, harmonic and irregular components. The estimates suggested in this paper are all consistent. This method has been used for the modelling of US dollar against DM exchange rate data, and ten steps ahead (2 weeks) forecasting are compared with several other methods. Under the Average Percentage of forecasting Error (APE) criterion, the wavelet approach is the best one. The results suggest that forecasting based on wavelets is a viable alternative to existing methods.
URI: http://hdl.handle.net/10397/24061
ISSN: 0266-4763
DOI: 10.1080/0266476032000053664
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