In this paper we investigate the relationship between stock market returns and economic activity by using signal decomposition techniques based on wavelet analysis. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the DJIA stock price index and the industrial...

In this paper we apply the wavelets methodology to the analysis of the industrial production index of the G-7 countries between 1961:1-2005:5. The analysis is performed using a multi-scaling approach which decomposes the variance of the industrial production index and the covariance between the...