Economics at your fingertips  

The windowed scalogram difference: A novel wavelet tool for comparing time series

V.J. Bolós, R. Benítez, R. Ferrer and R. Jammazi

Applied Mathematics and Computation, 2017, vol. 312, issue C, 49-65

Abstract: We introduce a new wavelet-based tool called windowed scalogram difference (WSD), which has been designed to compare time series. This tool allows quantifying if two time series follow a similar pattern over time, comparing their scalograms and determining if they give the same weight to the different scales. The WSD can be seen as an alternative to another tool widely used in wavelet analysis called wavelet squared coherence (WSC) and, in some cases, it detects features that the WSC is not able to identify. As an application, the WSD is used to examine the dynamics of the integration of government bond markets in the euro area since the inception of the euro as a European single currency in January 1999.

Keywords: Wavelets; Scalogram; Wavelet squared coherence (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:apmaco:v:312:y:2017:i:c:p:49-65