Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
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References listed on IDEAS
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- Marczak, Martyna & Gómez, Víctor, 2015.
"Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis,"
Elsevier, vol. 47(C), pages 40-52.
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More about this item
KeywordsTime–frequency domain; Time-spectral density; Wavelets; Covariance-stationarity; Monte Carlo simulation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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