Lin, Shinn-Juh; Stevenson, Maxwell - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 1, pp. 87-102
In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship...