An Introduction to Wavelets and Other Filtering Methods in Finance and EconomicsElsevier, 2001 M10 12 - 359 páginas An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.
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Dentro del libro
Resultados 1-5 de 69
Página ix
... Wavelets 4.3.3 Minimum Bandwidth Discrete-Time Wavelets The Discrete Wavelet Transform 4.4.1 Implementation of the DWT. Pyramid Algorithm 4.4.2 Partial Discrete Wavelet Transform 4.4.3 Multiresolution Analysis 4.4.4 Analysis of Variance ...
... Wavelets 4.3.3 Minimum Bandwidth Discrete-Time Wavelets The Discrete Wavelet Transform 4.4.1 Implementation of the DWT. Pyramid Algorithm 4.4.2 Partial Discrete Wavelet Transform 4.4.3 Multiresolution Analysis 4.4.4 Analysis of Variance ...
Página xi
... FORVARIANCE-COVARIANCE ESTINATION Introduction The Wavelet Variance 7.2.1 Estimating the Wavelet Variance 7.2.2 Confidence Intervals for the Wavelet Variance 7.2.3 Example: Simulated AR(1) Model 7.2.4 Example: IBM Stock Prices Testing ...
... FORVARIANCE-COVARIANCE ESTINATION Introduction The Wavelet Variance 7.2.1 Estimating the Wavelet Variance 7.2.2 Confidence Intervals for the Wavelet Variance 7.2.3 Example: Simulated AR(1) Model 7.2.4 Example: IBM Stock Prices Testing ...
Página xvi
... wavelet variance Wavelet variances for an AR(1) process Wavelet variance for the IBM stock price volatility Locating a change in IBM stock price volatility Monthly foreign exchange returns Wavelet variance for the DEM-USD and JPY-USD ...
... wavelet variance Wavelet variances for an AR(1) process Wavelet variance for the IBM stock price volatility Locating a change in IBM stock price volatility Monthly foreign exchange returns Wavelet variance for the DEM-USD and JPY-USD ...
Página 4
... wavelet smooth of the AR(1) plus seasonal process (dotted line). s 4 ... / 27tt yi = 0.95y;-1 + 2. [. S1m ( P ) + 09. + €t ... variables et and vst are uncorrelated Gaussian disturbance terms with mean zero and unit variance. Figure 1.2 ...
... wavelet smooth of the AR(1) plus seasonal process (dotted line). s 4 ... / 27tt yi = 0.95y;-1 + 2. [. S1m ( P ) + 09. + €t ... variables et and vst are uncorrelated Gaussian disturbance terms with mean zero and unit variance. Figure 1.2 ...
Página 6
... statistical hypothesis testing is useful in detecting and locating deviations from stationarity at specific points. This is one example of what is known as a structural break. Suppose we would like to test for homogeneity of variance ...
... statistical hypothesis testing is useful in detecting and locating deviations from stationarity at specific points. This is one example of what is known as a structural break. Suppose we would like to test for homogeneity of variance ...
Contenido
1 | |
15 | |
CHAPTER 3 OPTIMUM LINEAR ESTIMATION | 51 |
CHAPTER 4 DISCRETE WAVELET TRANSFORMS | 96 |
CHAPTER 5 WAVELETS AND STATIONARY PROCESSES | 161 |
CHAPTER 6 WAVELET DENOISING | 202 |
CHAPTER 7 WAVELETS FOR VARIANCECOVARIANCE ESTIMATION | 235 |
CHAPTER 8 ARTIFICIAL NEURAL NETWORKS | 272 |
NOTATIONS | 315 |
BIBLIOGRAPHY | 323 |
INDEX | 349 |
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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Ramazan Gençay,Faruk Selçuk,Brandon Whitcher Sin vista previa disponible - 2002 |
Términos y frases comunes
analysis applied approximate associated assumed basis calculated components computed correlation covariance cycle decomposition defined determined difference discrete distribution dynamics Equation error estimator example exchange feedforward network Figure Fourier transform frequency function gain function Gaussian given Haar hidden units increases indicate input interval known lags length linear matrix mean method MODWT moving average network model neural network noise observations obtained original output parameter performance period phase plotted points prediction presented procedure produce properties random recurrent respectively response returns rule sample scale seasonal sequence shift shows signal simple simulation smooth spectral spectrum squared standard stationary statistical studied term thresholding transform values variables variance vector volatility wavelet coefficients wavelet details wavelet filter wavelet scale wavelet transform wavelet variance weights zero