Davidson, Russell; Labys, Walter C; Lesourd, Jean-Baptiste - In: Computational Economics 11 (1998) 1-2, pp. 103-28
We propose a form of semi-nonparametric regression based on wavelet analysis. Traditional time series methods usually involve either the time or the frequency domain, but wavelets can combine the information from both of these. While wavelet transforms are typically restricted to equally spaced...