A Guide to Wavelets for Economists

By Patrick M. Crowley. 2007

419 citations recorded by the source corpus.

Subfields: Applied Mathematics, Computer Vision and Pattern Recognition, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/c45ea2ec30efb21d43f46725035e5cb9b98f2d18

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Citations in the corpus

International comovement of stock market returns: a wavelet analysis (2009, methodology): “From (10) one can see that the portfolio variance can be decomposed into two terms whereas the first one is strictly related with the variance of stock returns while the second term reflects the comovement.”
Oil and the macroeconomy: using wavelets to analyze old issues (2011, background): “See Crowley (2007), for a recent survey of wavelet applications to economic”
Measuring comovement in the time-frequency space (2010, neutral): “…Gençay et al. (2005) and Fernandez (2005) study the Capital Asset Pricing Model, Gallegati et al. (2008) and Yogo (2008) resort to wavelets for business cycle analysis, Rua and Nunes (2009) focus on international stock market returns, among others (see, for example, Crowley (2007) for a survey).”
Estimating the Taylor rule in the time-frequency domain (2018, methodology): “The work of Crowley (2007), with an excellent review of economic applications of the Discrete Wavelet Transform, but also with a subsection on the continuous transform, stimulated a growing literature on economic applications of wavelet tools.”
The continuous wavelet transform : a primer (2011, neutral): “Using formula (17), and for the most common choice choice of !0 = 6, we have that f = 6 2 s 1 s : Third, the Heisenberg box area reaches its lower bound with this wavelet, i.”
Using wavelets to decompose the time–frequency effects of monetary policy (2008, neutral): “[7].”
Assessing the Exchange Rate Exposure of US Multinationals (2013, background): “It should be noted that Bodnar and Gentry (1993), Bartov and Bodnar (1994), Amihud (1994), Allayannis (1997), and Griffin and Stulz (2001), showed that the firms examined were not exposed in a serious and significant way, even when they were involved in international activities.”
A wavelet-based assessment of market risk: The emerging markets case (2012, background): “…and Gallegati (2007) provide a wavelet variance analysis of output in G-7 countries, Gallegati et al. (2008) and Yogo (2008) resort to wavelets for business cycle analysis, Rua (2011) focuses on forecasting GDP growth in the major euro area countries, and others (see Crowley (2007) for a survey).”
THE CONTINUOUS WAVELET TRANSFORM: MOVING BEYOND UNI‐ AND BIVARIATE ANALYSIS (2014, neutral): “Using formula (17), and for the most common choice choice of !0 = 6, we have that f = 6 2 s 1 s : Third, the Heisenberg box area reaches its lower bound with this wavelet, i.”
Analysis of Financial Time-Series Using Fourier and Wavelet Methods (2008, neutral): “Crowley (2007) proposes a genuine guide to wavelets for economists.”
Long Cycles in Growth: Explorations Using New Frequency Domain Techniques with US Data (2010, neutral): “Crowley (2007) also provides a good 'intuitive' introduction to wavelets, written specifically for economists, and references the (limited) contributions made by economists using discrete wavelet analysis.”
An improved wavelet–ARIMA approach for forecasting metal prices (2014, neutral): “The width of a mother wavelet is defined by its “order” (Crowley, 2007).”
To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China (2021, neutral): “By using wavelets of different frequencies to fit the time series of different periods, wavelets can be used both in the frequency and the time domain (Crowley, 2007; Graps, 1995; Torrence & Webster, 1999).”