Sökning: onr:"swepub:oai:DiVA.org:lnu-89244" > Enhancing the predi...
Fältnamn | Indikatorer | Metadata |
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000 | 03016naa a2200457 4500 | |
001 | oai:DiVA.org:lnu-89244 | |
003 | SwePub | |
008 | 190924s2019 | |||||||||||000 ||eng| | |
009 | oai:DiVA.org:liu-160162 | |
024 | 7 | a https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-892442 URI |
024 | 7 | a https://doi.org/10.1016/j.econlet.2019.05.0412 DOI |
024 | 7 | a https://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1601622 URI |
040 | a (SwePub)lnud (SwePub)liu | |
041 | a engb eng | |
042 | 9 SwePub | |
072 | 7 | a ref2 swepub-contenttype |
072 | 7 | a art2 swepub-publicationtype |
100 | 1 | a Uddin, Gazi Salahu Linköpings universitet,Nationalekonomi,Filosofiska fakulteten4 aut0 (Swepub:liu)gazud96 |
245 | 1 0 | a Enhancing the predictability of crude oil markets with hybrid wavelet approaches |
264 | 1 | b Elsevier,c 2019 |
338 | a print2 rdacarrier | |
500 | a Funding Agencies|Jan Wallander Foundation; Tom Hedelius Foundation; Siamon Foundation | |
520 | a We explore the robustness, efficiency and accuracy of the multi-scale forecasting in crude oil markets. We adopt a novel hybrid wavelet auto-ARMA model to detect the inherent nonlinear dynamics of crude oil returns with an explicitly defined hierarchical structure. Entropic estimation is employed to calculate the optimal level of the decomposition. The wavelet-based forecasting method accounts for the chaotic behavior of oil series, whilst captures drifts, spikes and other non-stationary effects which common frequency-domain methods miss out completely. These results shed new light upon the predictability of crude oil markets in nonstationary settings. (C) 2019 Elsevier B.V. All rights reserved. | |
650 | 7 | a SAMHÄLLSVETENSKAPx Ekonomi och näringsliv0 (SwePub)5022 hsv//swe |
650 | 7 | a SOCIAL SCIENCESx Economics and Business0 (SwePub)5022 hsv//eng |
650 | 7 | a NATURVETENSKAPx Matematikx Sannolikhetsteori och statistik0 (SwePub)101062 hsv//swe |
650 | 7 | a NATURAL SCIENCESx Mathematicsx Probability Theory and Statistics0 (SwePub)101062 hsv//eng |
653 | a Wavelet decomposition | |
653 | a Forecasting | |
653 | a Crude oil | |
653 | a Economy | |
653 | a Ekonomi | |
700 | 1 | a Gencay, Ramazanu Simon Fraser Univ, Canada4 aut |
700 | 1 | a Bekiros, Steliosu European University Institute, Italy;Athens University of Economics and Business, Greece,EUI, Italy; AUEB, Greece4 aut |
700 | 1 | a Sahamkhadam, Maziaru Linnéuniversitetet,Institutionen för ekonomistyrning och logistik (ELO),Linnaeus Univ, Sweden4 aut0 (Swepub:lnu)masaad |
710 | 2 | a Linköpings universitetb Nationalekonomi4 org |
773 | 0 | t Economics Lettersd : Elsevierg 182, s. 50-54q 182<50-54x 0165-1765x 1873-7374 |
856 | 4 | u https://cadmus.eui.eu//bitstream/1814/66123/1/Enhancing_the_predictability.pdf |
856 | 4 8 | u https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-89244 |
856 | 4 8 | u https://doi.org/10.1016/j.econlet.2019.05.041 |
856 | 4 8 | u https://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-160162 |
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