By
Ramazan Gençay, University of Windsor, Ontario, Canada
Faruk Selçuk, Bilkent University, Ankara, Turkey
Brandon Whitcher, National Center for Atmospheric Research, Boulder, Colorado, U.S.A.
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.
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.
