| Publication type: | Conference paper |
| Type of review: | Peer review (abstract) |
| Title: | Forecasting non-stationary financial data with OIIR-filters and composed threshold models |
| Authors: | Wildi, Marc |
| DOI: | 10.1007/978-1-4615-5625-1_31 |
| Proceedings: | Decision technologies for computational finance : proceedings of the Fifth International Conference Computational Finance |
| Page(s): | 391 |
| Pages to: | 402 |
| Conference details: | 5th International Conference Computational Finance, London, United Kingdom, 15-17 December 1997 |
| Issue Date: | 1998 |
| Series: | Advances in computational management science |
| Series volume: | 2 |
| Publisher / Ed. Institution: | Springer |
| Publisher / Ed. Institution: | Boston |
| ISBN: | 978-0-7923-8309-3 978-1-4615-5625-1 |
| ISSN: | 1388-4301 |
| Language: | English |
| Subjects: | High pass filter; Stationary component; Filter design; Infinite impulse response; Amplitude function |
| Subject (DDC): | 332: Financial economics 500: Natural sciences |
| Abstract: | The paper proposes a forecasting-technique well suited to stationary and non-stationary economic or financial data. Two methods are used which together generalize the Box-Jenkins ARIMA-technique: Optimized-Infinite-Impulse-Response-Filters generalize difference-filters and composed-threshold (piecewise linear) models generalize linear ARMA-models. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/16835 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Engineering |
| Appears in collections: | Publikationen School of Engineering |
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Wildi, M. (1998). Forecasting non-stationary financial data with OIIR-filters and composed threshold models [Conference paper]. Decision Technologies for Computational Finance : Proceedings of the Fifth International Conference Computational Finance, 391–402. https://doi.org/10.1007/978-1-4615-5625-1_31
Wildi, M. (1998) ‘Forecasting non-stationary financial data with OIIR-filters and composed threshold models’, in Decision technologies for computational finance : proceedings of the Fifth International Conference Computational Finance. Boston: Springer, pp. 391–402. Available at: https://doi.org/10.1007/978-1-4615-5625-1_31.
M. Wildi, “Forecasting non-stationary financial data with OIIR-filters and composed threshold models,” in Decision technologies for computational finance : proceedings of the Fifth International Conference Computational Finance, 1998, pp. 391–402. doi: 10.1007/978-1-4615-5625-1_31.
WILDI, Marc, 1998. Forecasting non-stationary financial data with OIIR-filters and composed threshold models. In: Decision technologies for computational finance : proceedings of the Fifth International Conference Computational Finance. Conference paper. Boston: Springer. 1998. S. 391–402. ISBN 978-0-7923-8309-3
Wildi, Marc. 1998. “Forecasting Non-Stationary Financial Data with OIIR-Filters and Composed Threshold Models.” Conference paper. In Decision Technologies for Computational Finance : Proceedings of the Fifth International Conference Computational Finance, 391–402. Boston: Springer. https://doi.org/10.1007/978-1-4615-5625-1_31.
Wildi, Marc. “Forecasting Non-Stationary Financial Data with OIIR-Filters and Composed Threshold Models.” Decision Technologies for Computational Finance : Proceedings of the Fifth International Conference Computational Finance, Springer, 1998, pp. 391–402, https://doi.org/10.1007/978-1-4615-5625-1_31.
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