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

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

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by Ramazan Gen?ay, Faruk Selcuk, Brandon J. Whitcher, Brandon Whitcher
     
 

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ISBN-10: 0122796705

ISBN-13: 9780122796708

Pub. Date: 09/01/2001

Publisher: Elsevier Science

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. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in

Overview

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. 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. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.

• The first book to present a unified view of filtering techniques

• Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series

• Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Product Details

ISBN-13:
9780122796708
Publisher:
Elsevier Science
Publication date:
09/01/2001
Edition description:
New Edition
Pages:
359
Product dimensions:
1.00(w) x 6.00(h) x 9.00(d)

Table of Contents

Preface
Introduction
Linear Filters
Optimum Linear Estimation
Discrete Wavelet Transforms
Wavelets and Stationary Processes
Wavelet Denoising
Wavelets for Variance-Covariance Estimation
Artificial Neural Networks

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 5 out of 5 based on 0 ratings. 2 reviews.
Guest More than 1 year ago
First book on using wavelets in finance and economics. A very easy to comprehend yet advanced book with a nice focus on empirical examples. It is also very new and up to date, I recommend to all economists (and students) who wish to follow the recent techniques in economic/financial research.
Guest More than 1 year ago
The book is a wonderful reference in that it brings together various filtering methods. It is an excellent introduction to the topic, clearly written and easy to understand. The text does not assume a high-level math background. Further, unlike the various books which simply provide the theory but include very few or no applications at all, this book by Gencay, Selcuk, and Whitcher has many applications that help you get the right picture.