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Wavelets in Economics and Finance: Past and Future

Listed author(s):
  • Ramsey James B.

    (New York University)

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    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: https://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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    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
    Contact details of provider: Web page: https://www.degruyter.com

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    1. Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
    2. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
    3. Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
    4. anonymous, 1995. "Bank merger mania raises antitrust analysis issues," Financial Update, Federal Reserve Bank of Atlanta, issue Apr, pages 4-5.
    5. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    6. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Scaling properties of foreign exchange volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 249-266.
    7. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
    8. Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
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