Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion-Reference-Cited by-同舟云学术

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Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion

Published:2022-11-27 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Su Kuangxi,Yao Yinhong,Zheng Chengli^ORCID,Xie Wenzhao

Funder

Humanities and Social Science Planning Fund Project of the Ministry of Education

Central University for Basic Research Business Expenses

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10614-022-10345-4.pdf

Reference44 articles.

1. Aloui, C., & Jammazi, R. (2015). Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach. Physica A: Statistical Mechanics and its Applications, 436, 62–86.

2. An, N., Zhao, W., Wang, J., Shang, D., & Zhao, E. (2013). Using multi-output feedforward neural network with empirical mode decomposition based signal filtering for electricity demand forecasting. Energy, 49, 279–288.

3. Ao, M., Yingying, L., & Zheng, X. (2019). Approaching mean-variance efficiency for large portfolios. The Review of Financial Studies, 32(7), 2890–2919.

4. Berger, T., & Czudaj, R. L. (2020). Commodity futures and a wavelet-based risk assessment. Physica A: Statistical Mechanics and its Applications, 554, 124339.

5. Black, F. (1986). Noise. The. Journal of Finance, 41(3), 528–543.

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