A Stochastic Nonlinear Regression Estimator Using Wavelets

Authors:
Zuohong Pan;Xiaodi Wang
Affiliations:
Department of Economics, Western Connecticut State University, e-mail: panz@wcsu.ctstateu.edu;Department of Mathematics, Danbury, CT 06810, USA, e-mail: wangx@wcsu.ctstateu.edu
Venue:
Computational Economics
Year:
1998

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Abstract

A new wavelet-based estimator is introduced which combines the state-spacemodel 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.