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The Continuous Wavelet Transform: A Primer

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    Abstract

    Economists are already familiar with the Discrete Wavelet Transform. However, a body of work using the Continuous Wavelet Transform has also been growing. We provide a self-contained summary on continuous wavelet tools, such as the Continuous Wavelet Transform, the Cross-Wavelet, the Wavelet Coherency and the Phase-Difference. Furthermore, we generalize the concept of simple coherency to Partial Wavelet Coherency and Multiple Wavelet Coherency, akin to partial and multiple correlations, allowing the researcher to move beyond bivariate analysis. Finally, we describe the Generalized Morse Wavelets, a class of analytic wavelets recently proposed. A user-friendly toolbox, with examples, is attached to this paper.

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    File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_16_2011.pdf
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    Bibliographic Info

    Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 16/2011.

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    Date of creation: 2011
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    Handle: RePEc:nip:nipewp:16/2011

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    Postal: Núcleo de Investigação em Políticas Económicas, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal
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    Keywords: Continuous Wavelet Transform; Cross-Wavelet Transform; Wavelet Coherency; Partial Wavelet Coherency; Multiple Wavelet Coherency; Wavelet Phase-Difference; Economic fluctuations;

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    Cited by:
    1. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," CEF.UP Working Papers 1004, Universidade do Porto, Faculdade de Economia do Porto.
    2. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    3. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    4. Caraiani, Petre, 2012. "Stylized facts of business cycles in a transition economy in time and frequency," Economic Modelling, Elsevier, vol. 29(6), pages 2163-2173.
    5. Angi Roesch & Harald Schmidbauer & Erhan Uluceviz, 2014. "Frequency Aspects Of Information Transmission In Networks Of Equity Markets," EcoMod2014 7200, EcoMod.
    6. Trezzi, Riccardo, 2013. "A wavelet analysis of international risk-sharing," Economics Letters, Elsevier, vol. 118(2), pages 330-333.

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