A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence

DOI10.1016/J.AMC.2005.08.019zbMath1131.91377OpenAlexW1993980099MaRDI QIDQ2493690

Sharmishtha Mitra

Publication date: 16 June 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.08.019

zbMATH Keywords

impulse responsestationary time seriesco-integrationwavelet filteringvector auto-regressionGranger-CausalityMallat's pyramid algorithm

Mathematics Subject Classification ID

Mathematical economics (91B99) Statistical methods; economic indices and measures (91B82)

Related Items (6)

De-noising option prices with the wavelet method ⋮ Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting ⋮ Wavelet-based option pricing: an empirical study ⋮ Revealing the implied risk-neutral MGF from options: the wavelet method ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Cites Work

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• Wavelets in time-series analysis
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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