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Start Over Author "Wang, Xiaodi" Journal computational economics
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4. A Stochastic Nonlinear Regression Estimator Using Wavelets.

Author

Pan, Zuohong and Wang, Xiaodi

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. [ABSTRACT FROM AUTHOR]

Published
1998
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