Hamrita, Mohamed Essaied; Trifi, Abdelkader - In: International Journal of Economics and Financial Issues 1 (2011) 4, pp. 220-228
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using a wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price in US over the period from...