The Continuous Wavelet Transform: A Primer

Luís Aguiar-Conraria (lfaguiar@eeg.uminho.pt) and Maria Joana Soares (jsoares@math.uminho.pt)
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Maria Joana Soares: Universidade do Minho

No 23/2010, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: Wavelet analysis is becoming more popular in the Economics discipline. Until recently, most works have made use of tools associated with the Discrete Wavelet Transform. However, after 2005, there has been a growing body of work in Economics and Finance that makes use of the Continuous Wavelet Transform tools. In this article, we give a self-contained summary on the most relevant theoretical results associated with the Continuous Wavelet Transform, the Cross-Wavelet Transform, the Wavelet Coherency and the Wavelet Phase-Difference. We describe how the transforms are usually implemented in practice and provide some examples. We also introduce the Economists to a new class of analytic wavelets, the Generalized Morse Wavelets, which have some desirable properties and provide an alternative to the Morlet Wavelet. Finally, we provide a user friendly toolbox which will allow any researcher to replicate our results and to use it in his/her own research.

Keywords: Economic cycles; ContinuousWavelet Transform, Cross-Wavelet Transform, Wavelet Coherency, Wavelet Phase-Difference; The Great Moderation. (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ets and nep-hpe
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Citations: View citations in EconPapers (12)

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Related works:
Working Paper: The Continuous Wavelet Transform: A Primer (2011)
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