Studies in Nonlinear Dynamics and Econometrics

@inproceedings{2001StudiesIN,
  title={Studies in Nonlinear Dynamics and Econometrics},
  author={},
  year={2001}
}
  • Published 2001
In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship between the two price series. Furthermore, it also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship… CONTINUE READING

From This Paper

Figures, tables, results, connections, and topics extracted from this paper.
8 Extracted Citations
28 Extracted References
Similar Papers

Referenced Papers

Publications referenced by this paper.
Showing 1-10 of 28 references

An Introduction to Wavelets

  • C. K. Chui
  • 1992
Highly Influential
4 Excerpts

New Directions In Econometric Practice: General to Specific Modelling, Cointegration, and Vector Autoregression, 2nd ed

  • W. Charemza, D. Deadman
  • Lyme, N.H.: Edward Elgar
  • 1997
Highly Influential
3 Excerpts

Wavelets in Macroeconomics: An Introduction.

  • W. Goffe
  • Computational Techniques for Econometrics and…
  • 1994
Highly Influential
4 Excerpts

Ten Lectures on Wavelets, vol. 61 of CBMS-NSF Regional Conference Series in Applied Mathematics. Philadelphia: Society for Industrial and Applied Mathematics

  • I. Daubechies
  • 1992
Highly Influential
2 Excerpts

An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets.

  • M. Jensen
  • Journal of Economic Dynamics and Control,
  • 2000
1 Excerpt

The contributions of wavelets to the analysis of economic and financial data.

  • J. Ramsey
  • Philosophical Transactions of the Royal Society…
  • 1999
1 Excerpt

A stochastic nonlinear regression estimator using wavelets.

  • Z. Pan, X. Wang
  • Computational Economics,
  • 1998
1 Excerpt

The decomposition of economic relationships by time scale using wavelets: Expenditure and income.

  • J. Ramsey, C. Lampart
  • Studies in Nonlinear Dynamics and Econometrics,
  • 1998
2 Excerpts

Similar Papers

Loading similar papers…