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Comovement of Exchange Rates : A Wavelet Analysis

Andries, Alin Marius - 2015

are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the …

Persistent link: https://www.econbiz.de/10013035510

Multivariate fractional components analysis

Hartl, Tobias; Weigand, Roland - 2019

Persistent link: https://www.econbiz.de/10011962831

Economic cycles and their synchronization : a survey of spectral properties

Sella, L.; Vivaldo, G.; Groth, A.; Ghil, Michael - 2013

The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...

Persistent link: https://www.econbiz.de/10010225969

Decomposing the Co-Movement of the Business Cycle : A Time-Frequency Analysis of Growth Cycles in the Euro Area

Crowley, Patrick M. - 2006

decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT). Static wavelet variance and correlation … analysis is performed, and phasing is studied using co-correlation with the euro area by scale. Lastly dynamic conditional … correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of …

Persistent link: https://www.econbiz.de/10012734874

Measuring the natural rate of interest in Brazil

Maka, Alexis - 2023

Persistent link: https://www.econbiz.de/10014428785

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364