We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...

Key Features:This book covers the essence of wavelet analysis - such as the maximum overlap discrete wavelet transform, wavelet correlation, and variance - in a unified manner. It covers important topics in finance, such as portfolio asset allocation, asset pricing, hedging strategies, new risk...