This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.
Author(s): Marco Gallegati, Willi Semmler (eds.)
Series: Dynamic Modeling and Econometrics in Economics and Finance 20
Edition: 1
Publisher: Springer International Publishing
Year: 2014
Language: English
Pages: 261
Tags: Economic Theory; Statistics for Business/Economics/Mathematical Finance/Insurance; Socio- and Econophysics, Population and Evolutionary Models; Finance/Investment/Banking; Econometrics; Nonlinear Dynamics
Front Matter....Pages i-xvi
Functional Representation, Approximation, Bases and Wavelets....Pages 1-20
Front Matter....Pages 21-21
Does Productivity Affect Unemployment? A Time-Frequency Analysis for the US....Pages 23-46
The Great Moderation Under the Microscope: Decomposition of Macroeconomic Cycles in US and UK Aggregate Demand....Pages 47-71
Nonlinear Dynamics and Wavelets for Business Cycle Analysis....Pages 73-100
Front Matter....Pages 101-101
Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility....Pages 103-129
Wavelet Analysis and the Forward Premium Anomaly....Pages 131-142
Oil Shocks and the Euro as an Optimum Currency Area....Pages 143-156
Wavelet-Based Correlation Analysis of the Key Traded Assets....Pages 157-183
Front Matter....Pages 185-185
Forecasting via Wavelet Denoising: The Random Signal Case....Pages 187-225
Short and Long Term Growth Effects of Financial Crises....Pages 227-248
Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral Approach....Pages 249-261
