Wavelet analysis of stock returns and aggregate economic activity

DOI10.1016/j.csda.2007.07.019zbMath1452.62910MaRDI 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 variance; stock markets; industrial production; wavelet cross-correlation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Early Warning Signals of Financial Stress: A “Wavelet-Based” Composite Indicators Approach, Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods, Editorial: Special issue on statistical and computational methods in finance, Interest rate spreads and output: a time scale decomposition analysis using wavelets, Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

Uses Software

• R
• wmtsa

Cites Work

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