Narrow search
Showing 1 - 10 of 23,129
Cover Image
Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis : a local-adaptive-based testing of wavelets
Poměnková, Jitka; Klejmová, Eva; Kučerová, Zuzana - In: Baltic journal of economics 19 (2019) 1, pp. 155-175
and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans …
Persistent link: https://www.econbiz.de/10012010281
Cover Image
Euro Area Monetary and Fiscal Policy Tracking Design in the Time-Frequency Domain
Crowley, Patrick M. - 2015
​This paper first applies the MODWT (Maximal Overlap Discrete Wavelet Transform) to Euro Area quarterly GDP data from 1995-2014 to obtain the underlying cyclical structure of the GDP components. We then design optimal fiscal and monetary policy within a large state-space LQ-tracking wavelet...
Persistent link: https://www.econbiz.de/10013017295
Cover Image
A fast fractional difference algorithm
Noack Jensen, Andreas; Nielsen, Morten Ørregaard - 2013 - This version May 10, 2013
We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (complexity) is of order T 2, where T is the length of the time series. Our algorithm allows calculation speed of order T log2 T . For moderate and large...
Persistent link: https://www.econbiz.de/10009739619
Cover Image
Fiscal Policy Tracking Design in the Time Frequency Domain Using Wavelet Analysis
Crowley, Patrick M. - 2015
​In this paper discrete wavelet filtering techniques are applied to decompose macroeconomic data so that they can be simultaneously analyzed in both the time and frequency domains. The MODWT (Maximal Overlap Discrete Wavelet Transform) is applied to U.S. quarterly GDP data from 1947-2012 to...
Persistent link: https://www.econbiz.de/10013030975
Cover Image
The US Wage Phillips Curve over Different Time Horizons
Gallegati, M.; Gallegati, M.; Ramsey, James B.; … - In: Giornale degli Economisti 68 (2009) 2, pp. 113-148
In this paper we examine the features of the US wage Phillips curve over different time horizons analyzing the original Phillips’ specification on a scale-by-scale basis with data transformed by wavelet and band-pass filtering methods. Our results provide compelling evidence that the wage...
Persistent link: https://www.econbiz.de/10008469758
Cover Image
Effect of Noise Filtering on Predictions :on the Routes of Chaos
Guégan, Dominique - In: Brussels Economic Review 53 (2010) 2, pp. 255-272
The detection of chaotic behaviors in commodities, stock markets and weather data is usually complicated by large noise perturbation inherent to the underlying system. It is well known, that predictions, from pure deterministic chaotic systems can be accurate mainly in the short term. Thus, it...
Persistent link: https://www.econbiz.de/10008873428
Cover Image
An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach
In, Francis; Kim, Sangbae - World Scientific Publishing Co. Pte. Ltd.
applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet … unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis … econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much …
Persistent link: https://www.econbiz.de/10011156367
Cover Image
Bandspectrum Cointegration
Andersson, Fredrik N. G. - 2008
Economic theory commonly distinguishes between different time horizons such as the short run and the long run, each with its own relationships and its own dynamics. Engle (1974) proposed a bandspectrum regression to estimate such models. This paper proposes a new estimator for non-stationary...
Persistent link: https://www.econbiz.de/10013208534
Cover Image
Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466
based on windowed-estimate of the time-spectral density, while the second method is the wavelets theory. We show that the … wavelets approach is particularly powerful to detect changes in cyclical properties, while the first approach fails in such a … case. In contrast, the wavelets method fails to capture time–interaction effects, while the first approach is more powerful …
Persistent link: https://www.econbiz.de/10010636253
Cover Image
Wavelets and Sentiment in the Heterogeneous Agents Model
Vacha, Lukas; Vosvrda, Miloslav - In: Bulletin of the Czech Econometric Society 15 (2008)
wavelets for frequency detection in price time series analysis. We show that the application of the sentiment change on …
Persistent link: https://www.econbiz.de/10008540587