Long-run wavelet-based correlation for financial time series.
Thomas ConlonJohn CotterRamazan GencayPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- long run
- financial time series
- exchange rate
- short run
- financial time series forecasting
- stock market
- turning points
- expected cost
- financial data
- stock exchange
- stock price
- infinite horizon
- wavelet transform
- non stationary
- multivariate time series
- optimal policy
- control policy
- heavy traffic
- average cost
- average reward
- feature extraction