Wavelets in Economics and Finance: Past and Future
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.
|Date of creation:||2002|
|Date of revision:|
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|Order Information:|| Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012|
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- 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.
- Anderson, H.M. & Ramsey, J.B., 1999. "U.S. and Canadian Industrial Production Indices as Coupled Oscillators," Working Papers 99-01, C.V. Starr Center for Applied Economics, New York University.
- anonymous, 1995. "Bank merger mania raises antitrust analysis issues," Financial Update, Federal Reserve Bank of Atlanta, issue Apr, pages 4-5.
- 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.
- 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.
- 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.
- 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.
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