An Introduction to Wavelets and Other Filtering Methods in Finance and EconomicsAn 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 multiresolution 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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Wavelet filtering provides a natural platform to deal with the timevarying characteristics found in most realworld time series, and thus the assumption of ...
Wavelet filtering provides a natural platform to deal with the timevarying characteristics found in most realworld time series, and thus the assumption of ...
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... is a deterministic function of t and associated with lower frequency oscillations (i.e., it is relatively smooth). Let us also assume that the noise ...
... is a deterministic function of t and associated with lower frequency oscillations (i.e., it is relatively smooth). Let us also assume that the noise ...
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When developing time series models, a natural assumption is that of (secondorder) stationarity. That is, the time series model assumes that the mean and ...
When developing time series models, a natural assumption is that of (secondorder) stationarity. That is, the time series model assumes that the mean and ...
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*Here it is assumed that the sequence is stationary. If the sequence is not stationary, it can be made stationary by different methods as discussed in ...
*Here it is assumed that the sequence is stationary. If the sequence is not stationary, it can be made stationary by different methods as discussed in ...
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Even if we accept the assumption of normality, an estimate of the daily standard deviation is required. Simple moving average and EWMA estimators of daily ...
Even if we accept the assumption of normality, an estimate of the daily standard deviation is required. Simple moving average and EWMA estimators of daily ...
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Contenido
1  
15  
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 
Otras ediciones  Ver todas
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 beta calculated components computed correlation covariance cycle decomposition defined determined difference discrete distribution dynamics Equation error estimator example feedforward network Figure Fourier transform frequency function gain function Gaussian given Haar hidden units increases indicate input interval Kalman filter 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 values variables variance vector volatility wavelet coefficients wavelet details wavelet filter wavelet scale wavelet transform wavelet variance weights zero