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Synopsis
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...
From the Back Cover
"The authors present, in a simple fashion, a new class of filters that greatly expands on those previously available, allowing greater flexibility and generating models with time-varying specifications. The book considers familiar techniques and shows how these can be viewed in new ways, illustrating them with empirical studies from finance. It is particularly recommended for any time series econometrician wanting to keep up to date."
--Clive W. J....
About the Author
Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.
Faruk Selçuk is a faculty member in the department of economics...
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- PublisherAcademic Press
- Publication date2001
- ISBN 10 0122796705
- ISBN 13 9780122796708
- BindingHardcover
- LanguageEnglish
- Edition number1
- Number of pages384
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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
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