The contribution of wavelets to the analysis of economic and financial data

By James B. Ramsey. 1999

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

An improved wavelet–ARIMA approach for forecasting metal prices (2014, background): “Also Ramsey (1999) found that wavelets have the potential to increase the predictive power of time series methods.”
Wavelets in Economics and Finance: Past and Future (2002, background): “Brillinger (1994), Brillinger (1996) and Ramsey (1999a) develop some of the distribution theory for wavelet analysis.”
Multiscale systematic risk (2005, background): “See Ramsey (1999) for a recent review article on wavelets in economics and finance.”
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2016, background): “Following Ramsey (2002), it is possible to represent any function of time by the father (φ) and mother (ψ) wavelets.”
The continuous wavelet transform : a primer (2011, unknown): “The Continuous Wavelet Transform: A Primer Maria Joana Soares1 Lúıs Aguiar-Conraria2 1Department of Mathematics and Applications/NIPE 2Department of Economics/NIPE University of Minho, Portugal Workshop on Frequency Domain Research in Macroeconomics and Finance Helsinki, 20−21 October 2011 Introduc”
A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting (2008, background): “Wavelet analysis has been shown to be especially productive in analyzing, modeling, and predicting the behavior of financial instruments as diverse as stocks and exchange rates [43], [46].”
Testing the Suitability of Wavelet Preprocessing for TSK Fuzzy Models (2006, background): “have been described as robust parameter-free tools [10] that capture events that are local in time, without knowledge of the underlying generation phenomena [8], and thereby ‘formalize’ notions of decomposing time series into components [ 11 ].”
An Intuitive Guide to Wavelets for Economists (2005, background): “In economics, while providing a review of the possible future contributions of wavelets to the economics discipline, Ramsey (2000) explored four ways in which wavelets might be used to enhance the empirical toolkit of our profession.”
Wavelet Transform Application for/in Non-Stationary Time-Series Analysis: A Review (2019, background): “This is due to its capacity of studying a number of concepts such as non-stationarity, multiresolution and approximate decorrelation emerge from wavelet filters [17,18,79,80].”
Using wavelets to decompose the time–frequency effects of monetary policy (2008, methodology): “We build on and extend the work of Ramsey and Lampart [40] who used the discrete wavelet transform to decompose the relation between money and income.”
UNIT ROOT TESTS WITH WAVELETS (2010, background): “Early applications of wavelets in economics and finance are by Ramsey and his coauthors (for a review and references see Ramsey, Zaslavsky, and Usikov, 1995; Ramsey and Zhang, 1997; Ramsey, 1999, 2002), who explore the use of DWT in decomposing various economic and financial data.”