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A wavelet-based approach to filter out symmetric macroeconomic shocks

Marsalek, Roman; Pomenkova, Jitka; Kapounek, Svatopluk - In: Computational economics 44 (2014) 4, pp. 477-488

Persistent link: https://www.econbiz.de/10010489866

Decomposing the co-movement of the business cycle : a time-frequency analysis of growth cycles in the euro area

Crowley, Patrick M.; Lee, Jim - 2005

Persistent link: https://www.econbiz.de/10003147443

Decomposing the co-movement of the business cycle : a time-frequency analysis of growth cycles in the euro area

Crowley, Patrick M. (contributor); Lee, Jim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003198071

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

Frequency aspects of information transmission in a network of three Western equity markets

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - 2016

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of...

Persistent link: https://www.econbiz.de/10011609909