AN INTRODUCTION TO WAVELETS AND OTHER FILTERING METHODS IN FINANCIAL E GENCAY R., SELCUK F. Księgarnia

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

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.

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

"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

What can wavelet analysis tell us about time series? Filled with empirical applications from economics and finance, this book presents a unified view of filtering techniques. It provides easy access to a wide spectrum of parametric and nonparametric filtering methods, moving from older, well-known methods to newer ones, including neural networks. Avoiding proofs as much as possible and emphasizing explanations and underlying theories, the authors ensure that both those who are familiar with wavelets and those who ought to be have a definitive book that reveals the capabilities, advantages, and disadvantages of each method.

358 pages

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czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.