Time-localized wavelet multiple regression and correlation

DOI10.1016/J.PHYSA.2017.11.050MaRDI QIDQ83116zbMATH OpenOpenAlexFDO

Authors Javier Fernández-Macho

Publication date February 2018

Published in Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.11.050

zbMATH Keywords

comovement dynamicseuro zonelocal regressionmultiscale analysismultivariate time seriesnon-stationary time seriesstock marketswavelet transformweighted least squares

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A wavelet based approach to measure and manage contagion at different time scales
• An introduction to wavelets and other filtering methods in finance and economics
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• Asymptotic Decorrelation of Between-Scale Wavelet Coefficients
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Long-run comovements in East Asian stock market volatility
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Ten Lectures on Wavelets
• The illustrated wavelet transform handbook. Introductory theory and applications in science, engineering, medicine and finance
• Wavelet analysis of stock returns and aggregate economic activity
• Wavelet neural networks: a practical guide

Cited in

(6)

• Time-frequency regression
• Scale dependence of the directional relationships between coupled time series
• Time localization of transients with wavelet maxima lines
• Using wavelet analysis to uncover the co-movement behavior of multiple energy commodity prices
• Time- and frequency-varying price linkages, hedge ratio and hedging effectiveness in the futures markets of silver and platinum: a wavelet local multiple correlation approach
• VisualDom

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Uses Software

• wmtsa

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