Matches in SemOpenAlex for { <https://semopenalex.org/work/W4237535331> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W4237535331 endingPage "223" @default.
- W4237535331 startingPage "205" @default.
- W4237535331 abstract "We propose to decompose a financial time series into trend plus noise by means of the exponential smoothing filter. This filter produces statistically efficient estimates of the trend that can be calculated by a straightforward application of the Kalman filter. It can also be interpreted in the context of penalized least squares as a function of a smoothing constant has to be minimized by trading off fitness against smoothness of the trend. The smoothing constant is crucial to decide the degree of smoothness and the problem is how to choose it objectively. We suggest a procedure that allows the user to decide at the outset the desired percentage of smoothness and derive from it the corresponding value of that constant. A definition of smoothness is first proposed as well as an index of relative precision attributable to the smoothing element of the time series. The procedure is extended to series with different frequencies of observation, so that comparable trends can be obtained for say, daily, weekly or intraday observations of the same variable. The theoretical results are derived from an integrated moving average model of order (1, 1) underlying the statistical interpretation of the filter. Expressions of equivalent smoothing constants are derived for series generated by temporal aggregation or systematic sampling of another series. Hence, comparable trend estimates can be obtained for the same time series with different lengths, for different time series of the same length and for series with different frequencies of observation of the same variable. Copyright © 2009 John Wiley & Sons, Ltd." @default.
- W4237535331 created "2022-05-12" @default.
- W4237535331 creator A5059500528 @default.
- W4237535331 creator A5060375192 @default.
- W4237535331 date "2009-02-13" @default.
- W4237535331 modified "2023-10-14" @default.
- W4237535331 title "Trend estimation of financial time series" @default.
- W4237535331 cites W1423766661 @default.
- W4237535331 cites W1541591774 @default.
- W4237535331 cites W1966696278 @default.
- W4237535331 cites W2012533076 @default.
- W4237535331 cites W2034246780 @default.
- W4237535331 cites W2040177272 @default.
- W4237535331 cites W2070862609 @default.
- W4237535331 cites W2081511628 @default.
- W4237535331 cites W2088563154 @default.
- W4237535331 cites W2127612805 @default.
- W4237535331 cites W2131178762 @default.
- W4237535331 cites W2152235901 @default.
- W4237535331 cites W4300336601 @default.
- W4237535331 cites W658694906 @default.
- W4237535331 doi "https://doi.org/10.1002/asmb.763" @default.
- W4237535331 hasPublicationYear "2009" @default.
- W4237535331 type Work @default.
- W4237535331 citedByCount "3" @default.
- W4237535331 countsByYear W42375353312016 @default.
- W4237535331 crossrefType "journal-article" @default.
- W4237535331 hasAuthorship W4237535331A5059500528 @default.
- W4237535331 hasAuthorship W4237535331A5060375192 @default.
- W4237535331 hasConcept C102634674 @default.
- W4237535331 hasConcept C105795698 @default.
- W4237535331 hasConcept C106131492 @default.
- W4237535331 hasConcept C11413529 @default.
- W4237535331 hasConcept C133710760 @default.
- W4237535331 hasConcept C134306372 @default.
- W4237535331 hasConcept C143724316 @default.
- W4237535331 hasConcept C149782125 @default.
- W4237535331 hasConcept C151730666 @default.
- W4237535331 hasConcept C157286648 @default.
- W4237535331 hasConcept C199360897 @default.
- W4237535331 hasConcept C2777027219 @default.
- W4237535331 hasConcept C2779343474 @default.
- W4237535331 hasConcept C28826006 @default.
- W4237535331 hasConcept C31972630 @default.
- W4237535331 hasConcept C33923547 @default.
- W4237535331 hasConcept C3770464 @default.
- W4237535331 hasConcept C41008148 @default.
- W4237535331 hasConcept C86803240 @default.
- W4237535331 hasConceptScore W4237535331C102634674 @default.
- W4237535331 hasConceptScore W4237535331C105795698 @default.
- W4237535331 hasConceptScore W4237535331C106131492 @default.
- W4237535331 hasConceptScore W4237535331C11413529 @default.
- W4237535331 hasConceptScore W4237535331C133710760 @default.
- W4237535331 hasConceptScore W4237535331C134306372 @default.
- W4237535331 hasConceptScore W4237535331C143724316 @default.
- W4237535331 hasConceptScore W4237535331C149782125 @default.
- W4237535331 hasConceptScore W4237535331C151730666 @default.
- W4237535331 hasConceptScore W4237535331C157286648 @default.
- W4237535331 hasConceptScore W4237535331C199360897 @default.
- W4237535331 hasConceptScore W4237535331C2777027219 @default.
- W4237535331 hasConceptScore W4237535331C2779343474 @default.
- W4237535331 hasConceptScore W4237535331C28826006 @default.
- W4237535331 hasConceptScore W4237535331C31972630 @default.
- W4237535331 hasConceptScore W4237535331C33923547 @default.
- W4237535331 hasConceptScore W4237535331C3770464 @default.
- W4237535331 hasConceptScore W4237535331C41008148 @default.
- W4237535331 hasConceptScore W4237535331C86803240 @default.
- W4237535331 hasIssue "3" @default.
- W4237535331 hasLocation W42375353311 @default.
- W4237535331 hasOpenAccess W4237535331 @default.
- W4237535331 hasPrimaryLocation W42375353311 @default.
- W4237535331 hasRelatedWork W1533516806 @default.
- W4237535331 hasRelatedWork W2042105013 @default.
- W4237535331 hasRelatedWork W2124548931 @default.
- W4237535331 hasRelatedWork W2148273085 @default.
- W4237535331 hasRelatedWork W2155805504 @default.
- W4237535331 hasRelatedWork W2316342120 @default.
- W4237535331 hasRelatedWork W2352531415 @default.
- W4237535331 hasRelatedWork W2412906354 @default.
- W4237535331 hasRelatedWork W2752889686 @default.
- W4237535331 hasRelatedWork W3128648876 @default.
- W4237535331 hasVolume "26" @default.
- W4237535331 isParatext "false" @default.
- W4237535331 isRetracted "false" @default.
- W4237535331 workType "article" @default.