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The Continuous Wavelet Transform: A Primer

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Abstract

Economists are already familiar with the Discrete Wavelet Transform. However, a body of work using the Continuous Wavelet Transform has also been growing. We provide a self-contained summary on continuous wavelet tools, such as the Continuous Wavelet Transform, the Cross-Wavelet, the Wavelet Coherency and the Phase-Difference. Furthermore, we generalize the concept of simple coherency to Partial Wavelet Coherency and Multiple Wavelet Coherency, akin to partial and multiple correlations, allowing the researcher to move beyond bivariate analysis. Finally, we describe the Generalized Morse Wavelets, a class of analytic wavelets recently proposed. A user-friendly toolbox, with examples, is attached to this paper.

Suggested Citation

  • Luís Francisco Aguiar & Maria Joana Soares, 2011. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 16/2011, NIPE - Universidade do Minho.
  • Handle: RePEc:nip:nipewp:16/2011
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    File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_16_2011.pdf
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    Cited by:

    1. Lubos Hanus & Lukas Vacha, 2015. "Business cycle synchronization of the Visegrad Four and the European Union," Working Papers IES 2015/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2015.
    2. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    3. repec:eee:reveco:v:55:y:2018:i:c:p:285-294 is not listed on IDEAS
    4. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
    5. Bouoiyour, Jamal & Selmi, Refk, 2014. "What Bitcoin Looks Like?," MPRA Paper 58091, University Library of Munich, Germany.
    6. Angi Roesch & Harald Schmidbauer & Erhan Uluceviz, 2014. "Frequency Aspects Of Information Transmission In Networks Of Equity Markets," EcoMod2014 7200, EcoMod.
    7. Trezzi, Riccardo, 2013. "A wavelet analysis of international risk-sharing," Economics Letters, Elsevier, vol. 118(2), pages 330-333.
    8. Caraiani, Petre, 2012. "Stylized facts of business cycles in a transition economy in time and frequency," Economic Modelling, Elsevier, vol. 29(6), pages 2163-2173.
    9. KRAVETS Tetyana & LIASHENKO Olena, 2014. "The Synchronization Effects Of Stock Indices Dynamics In The Multifractal Analysis Using The Wavelet Technology," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 66(2), pages 41-57.
    10. repec:eee:phsmap:v:486:y:2017:i:c:p:933-946 is not listed on IDEAS
    11. repec:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500074 is not listed on IDEAS
    12. Boako, Gideon & Alagidede, Paul, 2017. "Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 359-380.
    13. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    14. Luís Francisco Aguiar-Conraria & Teresa Maria Rodrigues & Maria Joana Soares, 2013. "Oil Shocks and the Euro as an Optimum Currency Area," NIPE Working Papers 01/2013, NIPE - Universidade do Minho.
    15. Harald Schmidbauer & Angi Rosch & Erhan Uluceviz, 2016. "Frequency aspects of information transmission in a network of three Western equity markets," Koç University-TUSIAD Economic Research Forum Working Papers 1616, Koc University-TUSIAD Economic Research Forum.
    16. repec:wsi:afexxx:v:10:y:2015:i:01:n:s2010495215500025 is not listed on IDEAS
    17. Habimana, Olivier, 2016. "Oil price, exchange rate and consumer price co-movement: A continuous-wavelet analysis," MPRA Paper 71886, University Library of Munich, Germany.

    More about this item

    Keywords

    Continuous Wavelet Transform; Cross-Wavelet Transform; Wavelet Coherency; Partial Wavelet Coherency; Multiple Wavelet Coherency; Wavelet Phase-Difference; Economic fluctuations;

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