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Wavelet Applications in Economics and Finance

  • Book
  • © 2014

Overview

Editors:
  1. Marco Gallegati

    1. Faculty of Economics "G. Fuà", Polytechnic University of Marche, Ancona, Italy

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    You can also search for this editor in PubMed   Google Scholar

  2. Willi Semmler

    1. New School for Social Research, The New School University, New York, USA

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    You can also search for this editor in PubMed   Google Scholar

  • Applies wavelet and spectral methods to nonlinear and dynamic processes in economics and finance
  • Covers a wide range of economic and financial applications
  • Includes applications of time-frequency decomposition methods
  • Treats discrete and continuous wavelet transform tools as well as spectral methods
  • Includes supplementary material: sn.pub/extras

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 20)

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Functional Representation, Approximation, Bases and Wavelets

    • James B. Ramsey
    Pages 1-20

  3. Macroeconomics

    1. Front Matter

      Pages 21-21
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    2. Does Productivity Affect Unemployment? A Time-Frequency Analysis for the US

      • Marco Gallegati, Mauro Gallegati, James B. Ramsey, Willi Semmler
      Pages 23-46

    3. The Great Moderation Under the Microscope: Decomposition of Macroeconomic Cycles in US and UK Aggregate Demand

      • Patrick M. Crowley, Andrew Hughes Hallett
      Pages 47-71

    4. Nonlinear Dynamics and Wavelets for Business Cycle Analysis

      • Peter Martey Addo, Monica Billio, Dominique Guégan
      Pages 73-100

  4. Volatility and Asset Prices

    1. Front Matter

      Pages 101-101
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    2. Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility

      • Mark J. Jensen, Brandon Whitcher
      Pages 103-129

    3. Wavelet Analysis and the Forward Premium Anomaly

      • Michaela M. Kiermeier
      Pages 131-142

    4. Oil Shocks and the Euro as an Optimum Currency Area

      • Luís Aguiar-Conraria, Teresa Maria Rodrigues, Maria Joana Soares
      Pages 143-156

    5. Wavelet-Based Correlation Analysis of the Key Traded Assets

      • Jozef Baruník, Evžen Kočenda, Lukas Vacha
      Pages 157-183

  5. Forecasting and Spectral Analysis

    1. Front Matter

      Pages 185-185
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    2. Forecasting via Wavelet Denoising: The Random Signal Case

      • Joanna Bruzda
      Pages 187-225

    3. Short and Long Term Growth Effects of Financial Crises

      • Fredrik N. G. Andersson, Peter Karpestam
      Pages 227-248

    4. Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral Approach

      • Ekaterini Panopoulou, Sarantis Kalyvitis
      Pages 249-261
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Keywords

About this book

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.

Editors and Affiliations

  • Faculty of Economics "G. Fuà", Polytechnic University of Marche, Ancona, Italy

    Marco Gallegati

  • New School for Social Research, The New School University, New York, USA

    Willi Semmler

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