Wavelet analysis of stock returns and aggregate economic activity

DOI10.1016/J.CSDA.2007.07.019zbMATH Open1452.62910OpenAlexW2003317089MaRDI QIDQ1023637FDOQ1023637

Authors 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

stock marketswavelet varianceindustrial productionwavelet cross-correlation

Mathematics Subject Classification ID

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

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Cites work

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• The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
• Wavelet analysis of long-range-dependent traffic
• Wavelets and Dilation Equations: A Brief Introduction

Cited in

(22)

• The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
• scientific article; zbMATH DE number 1149921 (Why is no real title available?)
• Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces
• Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
• Endogenous economic resilience, loss of resilience, persistent cycles, multiple attractors, and disruptive contractions
• Scale dependence of the directional relationships between coupled time series
• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
• Amplitude and phase synchronization of European business cycles: a wavelet approach
• Editorial: Special issue on statistical and computational methods in finance
• Wavelet-based methods for high-frequency lead-lag analysis
• Time-localized wavelet multiple regression and correlation
• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• Time-frequency analysis of crude oil and S\&P500 futures contracts
• Study of dynamic relationships between financial and real sectors of economies with wavelets
• Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
• scientific article; zbMATH DE number 2065153 (Why is no real title available?)
• THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY
• The process of transferring negative impulses in capital markets – a wavelet analysis
• Analysis of stock market indices with multidimensional scaling and wavelets
• Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
• Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China
• Early warning signals of financial stress: a ``wavelet-based composite indicators approach

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