Methodology: Introduction to Wavelet Analysis

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

Chapter 1 in An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach, 2012, pp 1-39 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionFourier Analysis and Spectral AnalysisFourier analysisSpectral analysis2Comparison between Fourier transform and wavelet transformWavelet AnalysisContinuous wavelet transformDiscrete wavelet transformMaximal overlap discrete wavelet transformBoundary conditionWavelet Variance, Covariance and CorrelationWavelet varianceWavelet covariance and correlationWavelet cross covariance and correlationLong Memory Estimation Using Wavelet AnalysisDefinitions of long memoryWavelet ordinary least squareApproximate maximum-likelihood estimation of the long memory parameterAnother estimation method of the long memory parameter

Keywords: Wavelets; Finance; Economics; Wavelet Analysis; Multiscaling Method (search for similar items in EconPapers)
Date: 2012
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