A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks
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- Yi-Ting Chen & Wan-Ni Lai & Edward W. Sun, 2019. "Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 809-844, August.
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More about this item
KeywordsWavelet transform; Filters; Comovement; Macroeconomic shocks;
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