Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
Year of publication: |
2013
|
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Authors: | Ahamada, Ibrahim ; Jolivaldt, Philippe |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 31.2013, C, p. 460-466
|
Publisher: |
Elsevier |
Subject: | Time–frequency domain | Time-spectral density | Wavelets | Covariance-stationarity | Monte Carlo simulation |
Type of publication: | Article |
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Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; G12 - Asset Pricing |
Source: |
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Ahamada, Ibrahim, (2013)
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Malik, Sheheryar, (2011)
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Currency Union, Free-Trade Areas, and Business Cycle Synchronization
De Pace, Pierangelo, (2011)
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Ahamada, Ibrahim, (2013)
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Ahamada, Ibrahim, (2010)
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Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments
Ahamada, Ibrahim, (2008)
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