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The Continuous Wavelet Transform: A Primer

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  • Luís Francisco Aguiar

    ()
    (Universidade do Minho - NIPE)

  • Maria Joana Soares

    ()
    (Universidade do Minho)

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    Abstract

    Wavelet analysis is becoming more popular in the Economics discipline. Until recently, most works have made use of tools associated with the Discrete Wavelet Transform. However, after 2005, there has been a growing body of work in Economics and Finance that makes use of the Continuous Wavelet Transform tools. In this article, we give a self-contained summary on the most relevant theoretical results associated with the Continuous Wavelet Transform, the Cross-Wavelet Transform, the Wavelet Coherency and the Wavelet Phase-Difference. We describe how the transforms are usually implemented in practice and provide some examples. We also introduce the Economists to a new class of analytic wavelets, the Generalized Morse Wavelets, which have some desirable properties and provide an alternative to the Morlet Wavelet. Finally, we provide a user friendly toolbox which will allow any researcher to replicate our results and to use it in his/her own research.

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    File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_23_2010.pdf
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    Bibliographic Info

    Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 23/2010.

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    Date of creation: 2010
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    Handle: RePEc:nip:nipewp:23/2010

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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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    Web page: http://www3.eeg.uminho.pt/economia/nipe/versao_inglesa/index_uk.htm
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    Related research

    Keywords: Economic cycles; ContinuousWavelet Transform; Cross-Wavelet Transform; Wavelet Coherency; Wavelet Phase-Difference; The Great Moderation.;

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    Cited by:
    1. Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011. "Business cycle synchronization and the Euro: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
    2. Jusoh, Hashim & Bacha, Obiyathulla & Masih, Abul Mansur M., 2014. "Multi-scale Lead-Lag Relationship between the Stock and Futures Markets: Malaysia as a Case Study," MPRA Paper 56954, University Library of Munich, Germany.

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