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Wavelets in Economics and Finance: Past and Future Author info | Abstract | Publisher info | Download info | Related research | Statistics James Ramsey (New York University)
In this paper I review what insights we have gained about economic and financial relationships from the use of wavelets and speculate on what further insights we may gain in the future. Wavelets are treated as a 'lens' that enables the researcher to explore relationships that previously were unobservable.
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Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics .
Volume (Year): 6 (2002)
Issue (Month): 3 ()
Pages: 1090-1090
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Handle: RePEc:bep:sndecm:6:2002:3:1090-1090Note: oai:bepress:snde-1090Contact details of provider: Web page: http://www.bepress.com/snde/
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For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Wavelets time scale forecasts oscillating frequencies denoising consumption function income velocity time varying delays Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: James Ramsey, 1996.
"If Nonlinear Models Cannot Forecast, What Use Are They? ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 1(2), pages 65-86.
[Downloadable!] (restricted)
James Ramsey & Camille Lampart, 1998.
"The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 3(1), pages 23-42.
[Downloadable!] (restricted)
Jensen, Mark J. & Liu, Ming, 2006.
"Do long swings in the business cycle lead to strong persistence in output? ,"
Journal of Monetary Economics ,
Elsevier, vol. 53(3), pages 597-611, April.
[Downloadable!] (restricted)
Anderson, Heather M. & Ramsey, James B., 2002.
"U.S. and Canadian industrial production indices as coupled oscillators ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 26(1), pages 33-67, January.
[Downloadable!] (restricted)
Other versions: Ramsey, James B, 1999.
"Regression over Timescale Decompositions: A Sampling Analysis of Distributional Properties ,"
Economic Systems Research ,
Taylor and Francis Journals, vol. 11(2), pages 163-83, June.
Mark Jensen, 1999.
"An Approximate Wavelet MLE of Short- and Long-Memory Parameters ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 3(4), pages 239-253.
[Downloadable!] (restricted)
Mark J. Jensen, 1998.
"An Approximate Wavelet MLE of Short and Long Memory Parameters ,"
Econometrics
9802003, EconWPA, revised 21 Jun 1999.
[Downloadable!]
Mark J. Jensen, 1999.
"An Approximate Wavelet MLE of Short- and Long-Memory Parameters ,"
Computing in Economics and Finance 1999
1243, Society for Computational Economics.
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Luca De Benedictis & Marco Gallegati, 2005.
"Trade balance and terms of trade in U.S.: a time-scale decomposition analysis ,"
International Trade
0512016, EconWPA.
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Andersson, Fredrik N G & Elger, Thomas, 2007.
"Freight Transportation Activity, Business Cycles and Trend Growth ,"
Working Papers
2007:15, Lund University, Department of Economics.
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Viviana Fernández, 2005.
"The International CAPM and a wavelet-based decomposition of Value at Risk ,"
Documentos de Trabajo
203, Centro de Economía Aplicada, Universidad de Chile.
[Downloadable!]
Other versions:
Viviana Fernandez, 2005.
"The International CAPM and a wavelet-based decomposition of Value at Risk ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp075, IIIS.
[Downloadable!] Viviana Fernandez, 2006.
"The International CAPM and a Wavelet-Based Decomposition of Value at Risk ,"
NBER Working Papers
12233, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Viviana Fernandez, 2005.
"The International CAPM and a Wavelet-Based Decomposition of Value at Risk ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 9(4), pages 1328-1328.
[Downloadable!] (restricted) Marco Gallegati, 2005.
"Stock market returns and economic activity: evidence from wavelet analysis ,"
Macroeconomics
0512016, EconWPA.
[Downloadable!]
Crowley, Patrick, 2005.
"An intuitive guide to wavelets for economists ,"
Research Discussion Papers
1/2005, Bank of Finland.
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Other versions: Marco Gallegati & Mauro Gallegati, 2005.
"Wavelet variance and correlation analyses of output in G7 countries ,"
Macroeconomics
0512017, EconWPA.
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Marco Gallegati, 2005.
"A Wavelet Analysis of MENA Stock Markets ,"
Finance
0512027, EconWPA.
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Viviana Fernández, 2007.
"The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war ,"
Documentos de Trabajo
243, Centro de Economía Aplicada, Universidad de Chile.
[Downloadable!]
Viviana Fernandez, 2005.
"Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts ,"
Documentos de Trabajo
215, Centro de Economía Aplicada, Universidad de Chile.
[Downloadable!]
Other versions:
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