An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

GRANGER, Professor of Economics, University of California, San Diego "There are many books on linear filters and wavelets, but there is only one book, Gencay, Selcuk, and Whitcher, that provides an introduction to the field for economists and financial analysts and the motivation to study the subject. This book contains many practical economic and financial examples that will stimulate academic and professional research for years to come.

This book is a most welcome addition to the wavelet literature. RAMSEY, Professor of Economics, New York University "The authors have provided a very comprehensive account of the filtering literature, including wavelets, a tool not widely used in economics and finance. The volume includes many numerical illustrations, and should be accessible to a wide range of researchers. The authors are to be commended for their clear and comprehensive presentation of a fascinating and powerful approach to time-series analysis.

Without any reservations we give it the thumbs up. Help Centre.


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Understanding Wavelets, Part 1: What Are Wavelets

It is particularly recommended for any time series econometrician wanting to keep up to date. This book contains many practical economic and financial examples that will stimulate academic and professional research for years to come. This book is a most welcome addition to the wavelet literature. The volume includes many numerical illustrations, and should be accessible to a wide range of researchers.

The authors are to be commended for their clear and comprehensive presentation of a fascinating and powerful approach to time-series analysis. Reviews "This book sells itself short by being called "An Introduction Without any reservations we give it the thumbs up. Ramsey, Professor of Economics, New York University "The authors have provided a very comprehensive account of the filtering literature, including wavelets, a tool not widely used in economics and finance. Filled with empirical applications from economics and finance, this book presents a unified view of filtering techniques.

It provides easy access to a wide spectrum of parametric and nonparametric filtering methods, moving from older, well-known methods to newer ones. Avoiding proofs as much as possible and emphasizing explanations and underlying theories, the authors ensure that both those who are familiar with wavelets and those who ought to be have a definitive book that reveals the capabilities, advantages, and disadvantages of each method. Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.

Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics.

Analysis of Financial Time Series Using Wavelet Methods | SpringerLink

It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis and filtering methods in general can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. Their combined citations are counted only for the first article. Merged citations. This "Cited by" count includes citations to the following articles in Scholar.


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