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|Title: ||Time-frequency coherence and forecast analysis of selected stock returns in Ghana using haar wavelet|
|Authors: ||Eghan, Rhydal Esi|
Omari-Sasu, Akoto Yaw
Frimpong, Nana Kena
|Issue Date: ||14-Feb-2019|
|Publisher: ||Journal of Advances in Mathematics and Computer Science|
|Abstract: ||Aims/ objectives: The study seeks to analyze the correlation of some selected stock returns
with respect to both time and frequency domain, and also to forecast returns using Wavelet
Coherence and Wavelet-ARIMA model as alternative to Pearson correlation and ARIMA model
Study Design: Financial Mathematics.
Place and Duration of Study: August 2016 to July 2017 , Department of Mathematics,
Kwame Nkrumah University of Science and Technology.
Methodology: We transform data using the Haar Wavelet as the basis function.
Results: Results revealed interesting dynamics of correlations altering in time and across
frequencies continually between paired returns. Furthermore, Wavelet-Arima method was found
to be more appropriate for forecast with minimal error measure of forecast values.
Conclusion: Given the heterogeneous trading behavior in stock markets, investors operate at
di erent frequencies for their trade and investment preferences. Thus, apart from the time domain,
there is a frequency domain, which represents various investment horizons.|
|Description: ||An article published by Journal of Advances in Mathematics and Computer Science and also available at DOI: 10.9734/JAMCS/2019/46323|
|Appears in Collections:||College of Science|
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