IDEAS home Printed from https://ideas.repec.org/b/wsi/wsbook/8431.html
   My bibliography  Save this book

An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation — in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, January.
    • Handle: RePEc:wsi:wsbook:8431
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/worldscibooks/10.1142/8431
    Download Restriction: Ebook Access is available upon purchase
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    3. John Geweke & Susan Porter‐Hudak, 1983. "The Estimation And Application Of Long Memory Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 221-238, July.
    4. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    5. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    6. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    7. Ely, David P. & Robinson, Kenneth J., 1997. "Are stocks a hedge against inflation? International evidence using a long-run approach," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 141-167, February.
    8. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
    9. Blix, Mårten, 1999. "Forecasting Swedish Inflation With a Markov Switching VAR," Working Paper Series 76, Sveriges Riksbank (Central Bank of Sweden).
    10. Choudhry, Taufiq, 2003. "Short-run deviations and optimal hedge ratio: evidence from stock futures," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 171-192, April.
    11. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
    12. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 101-112, March.
    13. Ball, R., 1989. "What Do We Know About Stock Market Efficiency?," Papers 89-05, Rochester, Business - Managerial Economics Research Center.
    14. Kenneth L. Smith, 1999. "Major World Equity Market Interdependence a Decade After the 1987 Crash: Evidence From Cross Spectral Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(3-4), pages 365-392.
    15. Davidson, Russell & Labys, Walter C & Lesourd, Jean-Baptiste, 1998. "Wavelet Analysis of Commodity Price Behavior," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 103-128, April.
    16. Paul Harrison & Harold H. Zhang, 1999. "An Investigation Of The Risk And Return Relation At Long Horizons," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 399-408, August.
    17. 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.
    18. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
    19. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
    20. Sarlan, Haldun, 2001. "Cyclical aspects of business cycle turning points," International Journal of Forecasting, Elsevier, vol. 17(3), pages 369-382.
    21. Charles T. Howard & Louis J. D'Antonio, 1991. "Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(6), pages 697-710, December.
    22. Rowe, Wei Wang & Davidson, Wallace N, III, 2000. "Fund Manager Succession in Closed-End Mutual Funds," The Financial Review, Eastern Finance Association, vol. 35(3), pages 53-78, August.
    23. S. P. Kothari & Jerold B. Warner, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
    24. George J. Hall & Stefan Krieger, 2000. "Tax Smoothing Implications of the Federal Debt Paydown," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 31(2), pages 253-302.
    25. Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene M., 2004. "Why are foreign firms listed in the U.S. worth more?," Journal of Financial Economics, Elsevier, vol. 71(2), pages 205-238, February.
    26. Christian S Pedersen & Ted Rudholm-Alfvin, 2003. "Selecting a risk-adjusted shareholder performance measure," Journal of Asset Management, Palgrave Macmillan, vol. 4(3), pages 152-172, September.
    27. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
    28. Agarwal, Sumit & Liu, Chunlin & Rhee, S. Ghon, 2007. "Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 46-63, February.
    29. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
    30. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
    31. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
    32. Tkacz Greg, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-15, April.
    33. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
    34. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
    35. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 475-495.
    36. Chris Brooks & Olan T. Henry & Gita Persand, 2002. "The Effect of Asymmetries on Optimal Hedge Ratios," The Journal of Business, University of Chicago Press, vol. 75(2), pages 333-352, April.
    37. Kirchgassner, Gebhard & Wolters, Jurgen, 1987. "U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 675-684, November.
    38. Clifford M. Hurvich & Kaizo I. Beltrao, 1993. "Asymptotics For The Low‐Frequency Ordinates Of The Periodogram Of A Long‐Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(5), pages 455-472, September.
    39. Lowengrub, Paul & Melvin, Michael, 2002. "Before and after international cross-listing: an intraday examination of volume and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 139-155, April.
    40. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    41. Cheol S. Eun & Sanjiv Sabherwal, 2003. "Cross-Border Listings and Price Discovery: Evidence from U.S.-Listed Canadian Stocks," Journal of Finance, American Finance Association, vol. 58(2), pages 549-576, April.
    42. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 535-551, December.
    43. Duffie, Darrell & Singleton, Kenneth J, 1997. "An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
    44. Kee-Hong Bae & Baekin Cha & Yan-Lueng Cheung, 1999. "The Transmission of Pricing Information of Dually-Listed Stocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5&6), pages 709-723.
    45. Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(1), pages 49-71, March.
    46. Nuno Crato & Bonnie K. Ray, 2000. "Memory in returns and volatilities of futures' contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(6), pages 525-543, July.
    47. Madsen, Jakob B., 2005. "The Fisher hypothesis and the interaction between share returns, inflation and supply shocks," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 103-120, February.
    48. Ioannis Asimakopoulos & John Goddard & Costas Siriopoulos, 2000. "Interdependence between the US and major European equity markets: evidence from spectral analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 41-47.
    49. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
    50. Patrice Abry & Darryl Veitch & Patrick Flandrin, 1998. "Long‐range Dependence: Revisiting Aggregation with Wavelets," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(3), pages 253-266, May.
    51. Joanne Hill & Thomas Schneeweis, 1982. "The Hedging Effectiveness Of Foreign Currency Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 95-104, March.
    52. Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
    53. 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.
    54. Werner, Ingrid M & Kleidon, Allan W, 1996. "U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 619-664.
    55. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
    56. Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, June.
    57. Kee‐Hong Bae & Baekin Cha & Yan‐Lueng Cheung, 1999. "The Transmission of Pricing Information of Dually‐Listed Stocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5‐6), pages 709-723, June.
    58. Andrew Hughes Hallett & Christian R. Richter, 2002. "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," The Economic and Social Review, Economic and Social Studies, vol. 33(3), pages 333-356.
    59. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    60. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
    61. 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.
    62. Brian J. W. Fleming & Dejin Yu & Robert G. Harrison & David Jubb, 2000. "Analysis Of Effect Of Detrending Of Time-Scale Structure Of Financial Data Using Discrete Wavelet Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 375-379.
    63. 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.
    64. Paul McGuinness, 1999. "Volume effects in dual traded stocks: Hong Kong and London evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 615-625.
    65. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    66. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages 645-653, August.
    67. Kent Daniel & Sheridan Titman, 2006. "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, vol. 61(4), pages 1605-1643, August.
    68. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    69. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    70. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    71. Lau, Sie Ting & Diltz, J. David, 1994. "Stock returns and the transfer of information between the New York and Tokyo stock exchanges," Journal of International Money and Finance, Elsevier, vol. 13(2), pages 211-222, April.
    72. Paul Lynch & Gilles Zumbach, 2003. "Market heterogeneities and the causal structure of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 320-331.
    73. Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010. "Asymmetry of information flow between volatilities across time scales," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
    74. Lee, Cheng F. & Wu, Chunchi & Wei, K. C. John, 1990. "The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 361-376, September.
    75. Francis In & Sangbae Kim, 2006. "The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis," The Journal of Business, University of Chicago Press, vol. 79(2), pages 799-820, March.
    76. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    77. Jensen, Mark J., 2000. "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 361-387, March.
    78. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 75-96, March.
    79. Aaron Low & Jayaram Muthuswamy & Sudipto Sakar & Eric Terry, 2002. "Multiperiod hedging with futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(12), pages 1179-1203, December.
    80. Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
    81. Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
    82. Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
    83. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
    84. Lien, Donald & Wilson, Bradley K., 2001. "Multiperiod hedging in the presence of stochastic volatility," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 395-406.
    85. Charles Cao & Eric Ghysels & Frank Hatheway, 2000. "Price Discovery without Trading: Evidence from the Nasdaq Preopening," Journal of Finance, American Finance Association, vol. 55(3), pages 1339-1365, June.
    86. Francis In & Victor Fang & Rob Brown, 2004. "Australian and US interest rate swap markets: comparison and linkages," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(1), pages 45-56, March.
    87. Fischer, K P & Palasvirta, A P, 1990. "High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations," The Financial Review, Eastern Finance Association, vol. 25(3), pages 371-394, August.
    88. John M. Geppert, 1995. "A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(5), pages 507-536, August.
    89. Ilias Lekkos & Costas Milas, 2001. "Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(8), pages 737-768, August.
    90. Smith, Kenneth L., 2001. "Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 69-87, February.
    91. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    92. Jean‐Claude Trichet, 2001. "The Euro after Two Years," Journal of Common Market Studies, Wiley Blackwell, vol. 39(1), pages 1-13, March.
    93. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    94. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
    95. Pierre Collin‐Dufresne & Bruno Solnik, 2001. "On the Term Structure of Default Premia in the Swap and LIBOR Markets," Journal of Finance, American Finance Association, vol. 56(3), pages 1095-1115, June.
    96. Sims, Christopher A, 2001. "Fiscal Consequences for Mexico of Adopting the Dollar," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 597-616, May.
    97. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    98. Solnik, Bruno & Solnik, Vincent, 1997. "A multi-country test of the Fisher model for stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 289-301, December.
    99. Sangbae Kim & Francis In, 2010. "Portfolio allocation and the investment horizon: a multiscaling approach," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 443-453.
    100. Chin‐Wen Hsln & Jerry Kuo & Cheng‐Few Lee, 1994. "A new measure to compare the hedging effectiveness of foreign currency futures versus options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(6), pages 685-707, September.
    101. Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, vol. 84(1), pages 229-264, April.
    102. Li, Haitao & Mao, Connie X., 2003. "Corporate use of interest rate swaps: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1511-1538, August.
    103. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    104. Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
    105. Boudoukh, Jacob & Richardson, Matthew, 1993. "Stock Returns and Inflation: A Long-Horizon Perspective," American Economic Review, American Economic Association, vol. 83(5), pages 1346-1355, December.
    106. Knif, Johan & Pynnonen, Seppo & Luoma, Martti, 1995. "An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets," European Journal of Operational Research, Elsevier, vol. 81(2), pages 259-270, March.
    107. Gilles Sanfilippo, 2003. "Stocks, bonds and the investment horizon: a test of time diversification on the French market," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 345-351.
    108. Kenneth L. Smith, 1999. "Major World Equity Market Interdependence a Decade After the 1987 Crash: Evidence From Cross Spectral Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(3‐4), pages 365-392, April.
    109. Cheol S. Eun & Sanjiv Sabherwal, 2003. "Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks," Journal of Finance, American Finance Association, vol. 58(2), pages 549-575, April.
    110. Donald Lien & Xiangdong Luo, 1993. "Estimating multiperiod hedge ratios in cointegrated markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(8), pages 909-920, December.
    111. Sheng‐Syan Chen & Cheng‐Few Lee & Keshab Shrestha, 2001. "On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(6), pages 581-598, June.
    112. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    113. Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, vol. 34(1), pages 77-99, August.
    114. Lee, Jin & Hong, Yongmiao, 2001. "Testing For Serial Correlation Of Unknown Form Using Wavelet Methods," Econometric Theory, Cambridge University Press, vol. 17(2), pages 386-423, April.
    115. Venetis, Ioannis A. & Peel, David, 2005. "Non-linearity in stock index returns: the volatility and serial correlation relationship," Economic Modelling, Elsevier, vol. 22(1), pages 1-19, January.
    116. Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
    117. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
    118. Benoit B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290, National Bureau of Economic Research, Inc.
    119. Duffie, Darrell & Huang, Ming, 1996. "Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-949, July.
    120. Andrew F. Siegel & Artemiza Woodgate, 2007. "Performance of Portfolios Optimized with Estimation Error," Management Science, INFORMS, vol. 53(6), pages 1005-1015, June.
    121. Ramsey James B., 2002. "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-29, November.
    122. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    123. Donald Lien & Xiangdong Luo, 1994. "Multiperiod hedging in the presence of conditional heteroskedasticity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(8), pages 927-955, December.
    124. Cheung, Yin-Wong & Lai, Kon S, 1993. "Do Gold Market Returns Have Long Memory?," The Financial Review, Eastern Finance Association, vol. 28(2), pages 181-202, May.
    125. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roberts, Leigh, 2014. "Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns," Working Paper Series 18815, Victoria University of Wellington, School of Economics and Finance.
    2. Tim Leung & Theodore Zhao, 2022. "Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-23, March.
    3. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    4. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
    5. Kim C. Raath & Katherine B. Ensor, 2023. "Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 150-176, May.
    6. S. Corsaro & D. Marazzina & Z. Marino, 2015. "A parallel wavelet-based pricing procedure for Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 101-113, January.
    7. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
    2. Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
    3. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    4. 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.
    5. 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.
    6. Bera, Anil Kumar & Uyar, Umut & Kangalli Uyar, Sinem Guler, 2020. "Analysis of the five-factor asset pricing model with wavelet multiscaling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 414-423.
    7. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
    8. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    9. Xiaojie Xu, 2018. "Causal structure among US corn futures and regional cash prices in the time and frequency domain," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(13), pages 2455-2480, October.
    10. Fernandez, Viviana, 2007. "A postcard from the past: The behavior of U.S. stock markets during 1871–1938," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 267-282.
    11. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    12. Ryuta Sakemoto, 2022. "Multi‐scale inter‐temporal capital asset pricing model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4298-4317, October.
    13. Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Bank of Finland Research Discussion Papers 1/2005, Bank of Finland.
    14. 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.
    15. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
    16. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
    17. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
    18. Christian M. Hafner, 2012. "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(6), pages 1363-1379, December.
    19. 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.
    20. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.

    Book Chapters

    The following chapters of this book are listed in IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wsbook:8431. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.