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The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income

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Cited by:

  1. Bekiros, Stelios & Marcellino, Massimiliano, 2013. "The multiscale causal dynamics of foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 282-305.
  2. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
  3. Neeraj & Prasanta K. Panigrahi, 2016. "Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship," Papers 1608.07796, arXiv.org.
  4. Bekiros Stelios & Muzaffar Ahmed T. & Uddin Gazi S. & Vidal-García Javier, 2017. "Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-12, June.
  5. Michis Antonis A, 2009. "Regression Analysis of Marketing Time Series: A Wavelet Approach with Some Frequency Domain Insights," Review of Marketing Science, De Gruyter, vol. 7(1), pages 1-43, July.
  6. Viviana Fernandez, 2007. "Stock Market Turmoil: Worldwide Effects of Middle East Conflicts," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(3), pages 58-102, June.
  7. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2013. "The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework," Energy Economics, Elsevier, vol. 40(C), pages 714-733.
  8. Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," EconomiX Working Papers 2021-19, University of Paris Nanterre, EconomiX.
  9. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  10. Verona, Fabio, 2016. "Time–frequency characterization of the U.S. financial cycle," Economics Letters, Elsevier, vol. 144(C), pages 75-79.
  11. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  12. 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.
  13. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
  14. Joanna Bruzda, 2004. "Wavelet vs. Spectral Analysis of an Economic Process," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 183-194.
  15. Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
  16. Ysusi Carla, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
  17. Jiang, Chun & Chang, Tsangyao & Li, Xiao-Lin, 2015. "Money growth and inflation in China: New evidence from a wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 249-261.
  18. el Alaoui, Abdelkader O. & Dewandaru, Ginanjar & Azhar Rosly, Saiful & Masih, Mansur, 2015. "Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 53-70.
  19. Abid, Fathi & Kaffel, Bilel, 2018. "Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1028-1045.
  20. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
  21. Rua, António, 2010. "Measuring comovement in the time-frequency space," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 685-691, June.
  22. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Gold and exchange rates: Downside risk and hedging at different investment horizons," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 267-279.
  23. Wen-Yi Chen, 2016. "Health progress and economic growth in the USA: the continuous wavelet analysis," Empirical Economics, Springer, vol. 50(3), pages 831-855, May.
  24. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
  25. Stanislaus Maier-Paape & Andreas Platen, 2015. "Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process," Papers 1504.06235, arXiv.org.
  26. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  27. DiSario, Robert & Saraoglu, Hakan & McCarthy, Joseph & Li, Hsi, 2008. "Long memory in the volatility of an emerging equity market: The case of Turkey," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 305-312, October.
  28. 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.
  29. Dewandaru, Ginanjar & Bacha, Obiyathulla Ismath & Masih, A. Mansur M. & Masih, Rumi, 2015. "Risk-return characteristics of Islamic equity indices: Multi-timescales analysis," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 115-138.
  30. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  31. Andersson, Fredrik N.G. & Edgerton, David L. & Opper, Sonja, 2013. "A Matter of Time: Revisiting Growth Convergence in China," World Development, Elsevier, vol. 45(C), pages 239-251.
  32. Viviana Fernandez, 2005. "Time-Scale Decomposition of Price Transmission in International Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(4), pages 57-90, August.
  33. Huang, Yuting & Li, Qiang & Liow, Kim Hiang & Zhou, Xiaoxia, 2020. "Is Housing the Business Cycle? A Multiresolution Analysis for OECD Countries," Journal of Housing Economics, Elsevier, vol. 49(C).
  34. Lin Shinn-Juh & Stevenson Maxwell, 2001. "Wavelet Analysis of the Cost-of-Carry Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
  35. Angeliki Skoura, 2019. "Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio," Economies, MDPI, vol. 7(2), pages 1-27, April.
  36. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
  37. Petre Caraiani, 2013. "Using Complex Networks to Characterize International Business Cycles," PLOS ONE, Public Library of Science, vol. 8(3), pages 1-13, March.
  38. Jia, Xiaoliang & An, Haizhong & Sun, Xiaoqi & Huang, Xuan & Wang, Lijun, 2017. "Evolution of world crude oil market integration and diversification: A wavelet-based complex network perspective," Applied Energy, Elsevier, vol. 185(P2), pages 1788-1798.
  39. Mensi, Walid & Hkiri, Besma & Al-Yahyaee, Khamis H. & Kang, Sang Hoon, 2018. "Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 74-102.
  40. Hassan Farazmand & Amin Mansouri & Morteza Afghah, 2014. "Choosing the best type of wavelet: Case study-business cycle in Iran," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(5), pages 293-314, May.
  41. Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2007. "Using cross-wavelets to decompose the time-frequency relation between oil and the macroeconomy," NIPE Working Papers 16/2007, NIPE - Universidade do Minho.
  42. Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
  43. Viviana Fernandez, 2008. "Traditional versus novel forecasting techniques: how much do we gain?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 637-648.
  44. Fernandez Viviana P, 2005. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-37, December.
  45. 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.
  46. Costa, Antonio & da Silva, Cristiano & Matos, Paulo, 2022. "The Brazilian financial market reaction to COVID-19: A wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 13-29.
  47. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
  48. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Wavelet-based evidence of the impact of oil prices on stock returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 145-176.
  49. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
  50. 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.
  51. Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
  52. Bašta, Milan & Helman, Karel, 2013. "Scale-specific importance of weather variables for explanation of variations of electricity consumption: The case of Prague, Czech Republic," Energy Economics, Elsevier, vol. 40(C), pages 503-514.
  53. Gallegati, Marco & Ramsey, James B., 2014. "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, vol. 75(C), pages 1-24.
  54. Marczak, Martyna & Gómez, Víctor, 2015. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," Economic Modelling, Elsevier, vol. 47(C), pages 40-52.
  55. Gallegati, Marco & Ramsey, James B. & Semmler, Willi, 2014. "Interest rate spreads and output: A time scale decomposition analysis using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 283-290.
  56. Kang, Byoung Uk & In, Francis & Kim, Tong Suk, 2017. "Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 15-39.
  57. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
  58. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
  59. Avishek BHANDARI, 2017. "Wavelets based multiscale analysis of select global equity returns," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(613), W), pages 75-88, Winter.
  60. Ebenezer Boateng & Emmanuel Asafo-Adjei & John Gartchie Gatsi & ªtefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2022. "Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 699-743, September.
  61. 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.
  62. Pejman Bahramian & Andisheh Saliminezhad, 2021. "Does Capacity Utilization Predict Inflation? A Wavelet Based Evidence from United States," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1103-1125, December.
  63. Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
  64. Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
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  66. Ramsey, J.B., 2002. "Wavelets in Economics and Finance: Past and Future," Working Papers 02-02, C.V. Starr Center for Applied Economics, New York University.
  67. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
  68. Andrieș, Alin Marius & Căpraru, Bogdan & Ihnatov, Iulian & Tiwari, Aviral Kumar, 2017. "The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania," Economic Modelling, Elsevier, vol. 67(C), pages 261-274.
  69. Dowd, Kevin & Cotter, John & Loh, Lixia, 2011. "U.S. Core Inflation: A Wavelet Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 15(4), pages 513-536, September.
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  71. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
  72. Gallegati Marco & Gallegati Mauro & Ramsey James B. & Semmler Willi, 2016. "Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 477-493, September.
  73. Spelta, Alessandro & De Giuli, Maria Elena, 2023. "Does renewable energy affect fossil fuel price? A time–frequency analysis for the Europe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 626(C).
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  85. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
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