An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach

Francis In and Sangbae Kim
Additional contact information
Francis In: Monash University, Australia
Sangbae Kim: Kyungpook National University, Korea

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation — in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.

Keywords: Wavelets; Finance; Economics; Wavelet Analysis; Multiscaling Method (search for similar items in EconPapers)
Date: 2012
ISBN: 9789814397834
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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https://www.worldscientific.com/worldscibooks/10.1142/8431 (text/html)
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Chapters in this book:

Ch 1 Methodology: Introduction to Wavelet Analysis , pp 1-39

Francis In and Sangbae Kim

Ch 2 Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data , pp 41-55

Francis In and Sangbae Kim

Ch 3 Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach , pp 57-74

Francis In and Sangbae Kim

Ch 4 Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis , pp 75-85

Francis In and Sangbae Kim

Ch 5 Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis , pp 87-104

Francis In and Sangbae Kim

Ch 6 On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis , pp 105-123

Francis In and Sangbae Kim

Ch 7 Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run? , pp 125-146

Francis In and Sangbae Kim

Ch 8 Multiscale Relationships Between Stock Returns and Inflations: International Evidence , pp 147-159

Francis In and Sangbae Kim

Ch 9 Mutual Fund Performance and Investment Horizon , pp 161-175

Francis In and Sangbae Kim

Ch 10 A New Assessment of US Mutual Fund Returns Through a Multiscaling Approach , pp 177-190

Francis In and Sangbae Kim

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