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The windowed scalogram difference: A novel wavelet tool for comparing time series

Author

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  • Bolós, V.J.
  • Benítez, R.
  • Ferrer, R.
  • Jammazi, R.

Abstract

We introduce a new wavelet-based tool called windowed scalogram difference (WSD), which has been designed to compare time series. This tool allows quantifying if two time series follow a similar pattern over time, comparing their scalograms and determining if they give the same weight to the different scales. The WSD can be seen as an alternative to another tool widely used in wavelet analysis called wavelet squared coherence (WSC) and, in some cases, it detects features that the WSC is not able to identify. As an application, the WSD is used to examine the dynamics of the integration of government bond markets in the euro area since the inception of the euro as a European single currency in January 1999.

Suggested Citation

  • Bolós, V.J. & Benítez, R. & Ferrer, R. & Jammazi, R., 2017. "The windowed scalogram difference: A novel wavelet tool for comparing time series," Applied Mathematics and Computation, Elsevier, vol. 312(C), pages 49-65.
    • Handle: RePEc:eee:apmaco:v:312:y:2017:i:c:p:49-65
    DOI: 10.1016/j.amc.2017.05.046
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    Cited by:

    1. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
    2. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Adekoya, Oluwasegun B. & Hammoudeh, Shawkat, 2023. "What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?," Global Finance Journal, Elsevier, vol. 55(C).

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