Spurious regression due to neglected of non-stationary volatility.
Hao JinSi ZhangJinsuo ZhangPublished in: Comput. Stat. (2017)
Keyphrases
- non stationary
- stock price
- financial time series
- regression model
- model selection
- concept drift
- linear regression
- empirical mode decomposition
- stock market
- random fields
- autoregressive
- financial markets
- fractional brownian motion
- adaptive algorithms
- support vector regression
- support vector
- exchange rate
- blind source separation
- financial data
- white noise
- temporal evolution
- short term
- multi component
- image sequences