Stock market returns and economic activity: evidence from wavelet analysis
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References listed on IDEAS
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
- Diego Comin, 2004.
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- Diego Comin, 2003. "R&D? A Small Contribution to Productivity Growth," Macroeconomics 0306007, EconWPA.
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- Khalfaoui Rabeh, K & Boutahar Mohamed, B, 2011. "A time-scale analysis of systematic risk: wavelet-based approach," MPRA Paper 31938, University Library of Munich, Germany.
More about this item
Keywordsstock market; industrial production; wavelet analysis;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-CFN-2006-01-24 (Corporate Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
- NEP-MAC-2006-01-24 (Macroeconomics)
- NEP-RMG-2006-01-24 (Risk Management)
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