Modeling VaR in Crude Oil Market: A Multi Scale Nonlinear Ensemble Approach Incorporating Wavelet Analysis and ANN.
Kin Keung LaiKaijian HeJerome YenPublished in: International Conference on Computational Science (1) (2007)
Keyphrases
- crude oil
- wavelet analysis
- multiscale
- wavelet transform
- artificial neural networks
- multiresolution
- gaussian function
- oil field
- forecasting model
- factor analysis
- basis functions
- low frequency
- back propagation
- long run
- neural network
- feature detection
- high frequency
- short term
- wavelet coefficients
- subband
- scale space
- small number
- long term
- genetic algorithm