An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
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Product details:
- Publisher Academic Press
- Date of Publication 12 October 2001
- ISBN 9780122796708
- Binding Hardback
- No. of pages384 pages
- Size 228x152 mm
- Weight 640 g
- Language English
- Illustrations w. figs. 0
Categories
Long description:
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.
MoreTable 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
