In this paper, we use wavelet analysis to investigate the cyclical comovements between crude oil prices and US GDP, taking into account the decline in the volatility of US GDP growth that has occurred since the mid-1980s.

In this paper, we use a wavelet approach to study the linear and nonlinear Granger causality between the real oil price and the real effective U.S. Dollar exchange rate. Instead of analyzing the time series at their original level, as it is usually done, we first decompose the two macroeconomic...

According to market heterogeneity hypothesis, financial markets are characterized by the presence of heterogeneity of participants with different sensibilities to different time scales. Although Wavelet based Value at Risk is able to represent dealing frequencies of market participants, it...