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

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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

Audience: Upper division undergraduate and graduate students as well as professionals in economics and finance. Courses include econometrics, applied economic analysis, economic statistics, and probability and statistics.

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Editorial Reviews

From the Publisher
"There are many books on linear filters and wavelets, but there is only one book, Gençay, Selçuk, and Whitcher, that provides an introduction to the field for economists and financial analysts and the motivation to study the subject.....[it] contains many practical economic and financial examples that will stimulate academic and professional research for years to come...a most welcome addition to the wavelet literature."
James B. Ramsey, Professor of Economics, New York University, USA

"...particularly recommended for any time series econometrician wanting to keep up to date".
Clive W. Granger, Professor of Economics, University of California, San Diego, USA

"This timely volume will be of interest to anyone who wants to understand the latest technology for analyzing economic and financial time series. The authors are to be commended for their clear and comprehensive presentation of a fascinating and powerful approach to time-series analysis".
Halbert White, University of California, San Diego, USA

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Product Details

  • ISBN-13: 9780122796708
  • Publisher: Elsevier Science
  • Publication date: 9/1/2001
  • Edition description: New Edition
  • Pages: 359
  • Sales rank: 1,354,058
  • Product dimensions: 1.00 (w) x 6.00 (h) x 9.00 (d)

Meet the Author

Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.

Faruk Selçuk is a faculty member in the department of economics at Bilkent University, Ankara, Turkey. His research interests are time series analysis, financial econometrics, risk management, emerging market economies, and the Turkish economy. His recent publications appeared in Studies in Nonlinear Dynamics and Econometrics, International Journal of Forecasting, and Physica A. He is a consultant for Reuters-Istanbul and Reuters-Moscow.

Brandon Whitcher is currently a visiting scientist in the Geophysical Statistics Project at the National Center for Atmospheric Research. He was a research scientist at EURANDOM, a European research institute for the study of stochastic phenomena, after receiving his Ph.D. in statistics from the University of Washington. His research interests include wavelet methodology, time series analysis, computational statistics, and applications in the physical sciences, finance, and economics. His publications have appeared in Exploration Geophysics, Journal of Computational and Graphical Statistics, Journal of Geophysical Research, Journal of Statistical Computation and Simulation, and Physica A.

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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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Customer Reviews

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Sort by: Showing all of 2 Customer Reviews
  • Anonymous

    Posted December 26, 2001

    First book on using wavelets in finance and economics.

    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.

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  • Anonymous

    Posted November 12, 2001

    Easy to understand!

    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.

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