The Continuous Wavelet Transform: A Primer
Wavelet analysis is becoming more popular in the Economics discipline. Until recently, most works have made use of tools associated with the Discrete Wavelet Transform. However, after 2005, there has been a growing body of work in Economics and Finance that makes use of the Continuous Wavelet Transform tools. In this article, we give a self-contained summary on the most relevant theoretical results associated with the Continuous Wavelet Transform, the Cross-Wavelet Transform, the Wavelet Coherency and the Wavelet Phase-Difference. We describe how the transforms are usually implemented in practice and provide some examples. We also introduce the Economists to a new class of analytic wavelets, the Generalized Morse Wavelets, which have some desirable properties and provide an alternative to the Morlet Wavelet. Finally, we provide a user friendly toolbox which will allow any researcher to replicate our results and to use it in his/her own research.
|Date of creation:||2010|
|Contact details of provider:|| Postal: Núcleo de Investigação em Políticas Económicas, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal|
Phone: +351-253604510 ext 5532
Web page: http://www3.eeg.uminho.pt/economia/nipe/versao_inglesa/index_uk.htm
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:nip:nipewp:23/2010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maria João Thompson)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.