图书名称：Wavelet Applications in Economics and Finance
作者：Marco Gallegati,Willi Semmler
出版社：Springer
页数：271
出版时间：August 5, 2014
语言：English
格式：pdf
内容简介：
This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.

Table of Content

Front Matter Pages i-xvi

Functional Representation, Approximation,Bases and Wavelets Pages 1-20

Part one Macroeconomics Pages 21-21

1、Does Productivity Affect Unemployment? A Time-Frequency Analysis for the US Pages 23-46

2、The Great Moderation Under the Microscope: Decomposition of Macroeconomic Cycles in US and UKAggregate Demand Pages 47-71

3、Nonlinear Dynamics and Wavelets for Business Cycle AnalysisPages 73-100

Part Two Volatility and Asset PricesPages 101-101

1、Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility Pages 103-129

2、Wavelet Analysis andthe Forward Premium Anomaly Pages131-142

3、Oil Shocks and the Euro as an Optimum Currency Area Pages143-156

4、Wavelet-Based Correlation Analysis of the Key Traded AssetsPages 157-183

Part ThreeForecasting and Spectral AnalysisPages 185-185

1、Forecasting via Wavelet Denoising: The Random Signal CasePages 187-225

2、Short and Long Term Growth Effects of Financial CrisesPages 227-248

3、Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral ApproachPages 249-261





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