Abstract

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

"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