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Wavelets in Economics and Finance: Past and Future

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  • Ramsey James B.

    (New York University)

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    Abstract

    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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    File URL: http://www.degruyter.com/view/j/snde.2002.6.3/snde.2002.6.3.1090/snde.2002.6.3.1090.xml?format=INT
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    Bibliographic Info

    Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

    Volume (Year): 6 (2002)
    Issue (Month): 3 (November)
    Pages: 1-29

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    Handle: RePEc:bpj:sndecm:v:6:y:2002:i:3:n:1

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    Cited by:
    1. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
    2. Fernandez, Viviana, 2008. "The war on terror and its impact on the long-term volatility of financial markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 1-26.
    3. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
    4. Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
    5. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
    6. Joanna Bruzda, 2011. "Business cycle synchronization according to wavelets – the case of Poland and the euro zone member countries," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 42(3), pages 5-32.
    7. Baqaee, David, 2010. "Using wavelets to measure core inflation: The case of New Zealand," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 241-255, December.
    8. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
    9. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
    10. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    11. Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
    12. Fernandez, Viviana, 2006. "Does domestic cooperation lead to business-cycle convergence and financial linkages?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 369-396, July.
    13. Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, vol. 23(3), pages 274-292, September.
    14. Crowley, Patrick & Habibdoust , Amir, 2013. "Assessing the exchange rate exposure of US multinationals," Research Discussion Papers 34/2013, Bank of Finland.
    15. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
    16. repec:hal:journl:halshs-00476022 is not listed on IDEAS
    17. Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
    18. Viviana Fernández, 2006. "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 275-293, November.
    19. Antoniou, Antonios & Vorlow, Constantinos E., 2004. "Recurrence quantification analysis of wavelet pre-filtered index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 257-262.
    20. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
    21. Fernandez, Viviana, 2006. "The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11," Economic Systems, Elsevier, vol. 30(1), pages 79-97, March.
    22. Fernandez, Viviana, 2006. "The CAPM and value at risk at different time-scales," International Review of Financial Analysis, Elsevier, vol. 15(3), pages 203-219.

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