Wavelet analysis of stock returns and aggregate economic activity

DOI10.1016/j.csda.2007.07.019zbMath1452.62910OpenAlexW2003317089MaRDI QIDQ1023637

Marco Gallegati

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.07.019

zbMATH Keywords

wavelet variancestock marketsindustrial productionwavelet cross-correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Interest rate spreads and output: a time scale decomposition analysis using wavelets ⋮ Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China ⋮ Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ Amplitude and phase synchronization of European business cycles: a wavelet approach ⋮ Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries ⋮ Time-localized wavelet multiple regression and correlation ⋮ Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods ⋮ Editorial: Special issue on statistical and computational methods in finance ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis ⋮ Early Warning Signals of Financial Stress: A “Wavelet-Based” Composite Indicators Approach

Uses Software

• R
• wmtsa

Cites Work

• Introduction to the special issue on statistical signal extraction and filtering
• Multivariate denoising using wavelets and principal component analysis
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Scaling properties of foreign exchange volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
• A theory for multiresolution signal decomposition: the wavelet representation
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Ten Lectures on Wavelets
• Long-Term Memory in Stock Market Prices
• Wavelet analysis of long-range-dependent traffic
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Wavelets and Dilation Equations: A Brief Introduction
• On estimation of the wavelet variance
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