Kalman Filter and Financial Time Series Analysis

2012 ◽  
pp. 339-351 ◽  
Author(s):  
M. P. Rajan ◽  
Jimson Mathew
Keyword(s):  
Time Series ◽  
Kalman Filter ◽  
Time Series Analysis ◽  
Financial Time Series ◽  
Financial Time ◽  
Series Analysis

scholarly journals Bayesian Compressed Vector Autoregression for Financial Time-Series Analysis and Forecasting

IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 16777-16786 ◽  
Author(s):  
Paponpat Taveeapiradeecharoen ◽  
Kosin Chamnongthai ◽  
Nattapol Aunsri
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Vector Autoregression ◽  
Financial Time Series ◽  
Financial Time ◽  
Series Analysis

ANALYSIS OF TIME SERIES WITH WAVELETS

2007 ◽  
Vol 05 (02) ◽  
pp. 241-256 ◽  
Author(s):  
ARMANDO CIANCIO
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Financial Time Series ◽  
Wavelet Coefficients ◽  
Analysis Method ◽  
Short Term ◽  
Financial Time ◽  
Local Characteristics ◽  
Series Analysis ◽  
Analysis Of Time Series

A financial time series analysis method based on the theory of wavelets is proposed. It is based on the transformation of data of the series in the corresponding wavelet coefficients and in the analysis of the latter, which represent the local characteristics of the series better. In particular, an algorithm for short term previsions is defined.

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