Wavelet Analysis of Commodity Price Behavior
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- Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
- Kriechbaumer, Thomas & Angus, Andrew & Parsons, David & Rivas Casado, Monica, 2014. "An improved wavelet–ARIMA approach for forecasting metal prices," Resources Policy, Elsevier, vol. 39(C), pages 32-41.
- repec:wyi:journl:002092 is not listed on IDEAS
- Tse, Y.K. & Anh, V.V. & Tieng, Q., 2002. "Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 153-161.
- Emmanuel Haven & Xiaoquan Liu & Chenghu Ma & Liya Shen, 2013. "Revealing the Implied Risk-neutral MGF with the Wavelet Method," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
- Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
- 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.
- Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
- Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
- 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.
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
- Shinn-Juh Lin & Max Stevenson, 1999. "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model," Research Paper Series 11, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:wyi:journl:002097 is not listed on IDEAS
- 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.
- Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.
More about this item
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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