Dynamic Multivariate Wavelet Signal Extraction and Forecasting with Applications to Finance

Journal Title
Journal ISSN
Volume Title

Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales) and localized windows (blocks) of time. This thesis consists of a three-part series of papers. The first paper develops a wavelet framework for the finance and economics community to quantify dynamic, interconnected relationships between non-stationary time series. The second paper introduces a novel continuous wavelet transform, dynamically-optimized, multivariate thresholding method to extract the optimal signal from multivariate time series. Finally, the third paper presents an augmented stochastic volatility wavelet-based forecasting method building on the partial mixture distribution modeling framework introduced in the second paper. Promising results in economics and finance have come from implementing wavelet analysis, however more advanced wavelet techniques are needed as well as more robust statistical analysis tools. In support of this expansion effort, we developed a comprehensive and user-friendly R package, CoFESWave, containing our newly developed thresholding and forecasting methods.

Doctor of Philosophy
non-stationary time series, continuous wavelet transform, dynamic multivariate thresholding, stochastic volatility forecasting

Raath, Kim C. "Dynamic Multivariate Wavelet Signal Extraction and Forecasting with Applications to Finance." (2020) Diss., Rice University. https://hdl.handle.net/1911/108319.

Has part(s)
Forms part of
Published Version
Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.
Link to license
Citable link to this page