Wavelet neural networks can potentially have better results for time series analysis. The reason behind this is that  "continuous function can be represented as a weighted sum of orthogonal basis functions. Such expansions can be easily represented as neural networks which can be designed for the desired error rate using the properties of orthonormal expansions. In order to take full advantage of orthonormality of basis functions, and localized learning, ... Wavelets are functions with these features"[1].

Hope this helps

[1]Wavelet Neural Networks for Nonlinear Time Series Analysis by

K. K. Minu, M. C. Lineesh and C. Jessy John

 Thank you Arturo Geigel for your valuable guidance.