Ramazan Gençay
University of Windsor, Ontario, Canada
Faruk Selçuk
Bilkent University, Ankara, Turkey
Brandon Whitcher
GlaxoSmithKline, Harlow, United Kingdom
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 multiresolution 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.
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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