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

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9780122796708: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

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

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From the Back Cover:

"The authors present, in a simple fashion, a new class of filters that greatly expands on those previously available, allowing greater flexibility and generating models with time-varying specifications. The book considers familiar techniques and shows how these can be viewed in new ways, illustrating them with empirical studies from finance. It is particularly recommended for any time series econometrician wanting to keep up to date."
--Clive W. J. Granger, Professor of Economics, University of California, San Diego
"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. This book contains many practical economic and financial examples that will stimulate academic and professional research for years to come. This book is a most welcome addition to the wavelet literature."
--James B. Ramsey, Professor of Economics, New York University
"The authors have provided a very comprehensive account of the filtering literature, including wavelets, a tool not widely used in economics and finance. The volume includes many numerical illustrations, and should be accessible to a wide range of researchers."
--Peter M. Robinson, Tooke Professor of Economic Science and Statistics and Leverhulme Research Professor, London School of Economics, U.K.
"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. 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.

About the Author:

Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.

Faruk Selçuk is a faculty member in the department of economics at Bilkent University, Ankara, Turkey. His research interests are time series analysis, financial econometrics, risk management, emerging market economies, and the Turkish economy. His recent publications appeared in Studies in Nonlinear Dynamics and Econometrics, International Journal of Forecasting, and Physica A. He is a consultant for Reuters-Istanbul and Reuters-Moscow.

Brandon Whitcher is currently a visiting scientist in the Geophysical Statistics Project at the National Center for Atmospheric Research. He was a research scientist at EURANDOM, a European research institute for the study of stochastic phenomena, after receiving his Ph.D. in statistics from the University of Washington. His research interests include wavelet methodology, time series analysis, computational statistics, and applications in the physical sciences, finance, and economics. His publications have appeared in Exploration Geophysics, Journal of Computational and Graphical Statistics, Journal of Geophysical Research, Journal of Statistical Computation and Simulation, and Physica A.

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Ramazan Gençay; Faruk Selçuk; Brandon Whitcher
Editore: Academic Press (2001)
ISBN 10: 0122796705 ISBN 13: 9780122796708
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Descrizione libro Academic Press, 2001. Hardcover. Condizione libro: New. Codice libro della libreria SONG0122796705

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Ramazan Gencay, Faruk Selcuk, Brandon J. Whitcher
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Descrizione libro Elsevier Science Publishing Co Inc, United States, 2001. Hardback. Condizione libro: New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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. Codice libro della libreria EOD9780122796708

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Descrizione libro Academic Press, 2017. Hardcover. Condizione libro: New. This item is printed on demand. Codice libro della libreria P110122796705

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Descrizione libro Condizione libro: New. This item is Print on Demand - Depending on your location, this item may ship from the US or UK. Codice libro della libreria POD_9780122796708

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Descrizione libro Academic Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780122796708_lsuk

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GENÞAY, RAMAZAN; SELÞUK, FARUK; WHITCHER, BRANDON
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Descrizione libro Academic Press, 2001. Hardback. Condizione libro: NEW. 9780122796708 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0891296

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GENÞAY, RAMAZAN; SELÞUK, FARUK; WHITCHER, BRANDON
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Descrizione libro Academic Press, 2001. Hardback. Condizione libro: NEW. 9780122796708 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE01195585

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Descrizione libro Academic Press, 2001. Hardcover. Condizione libro: New. Codice libro della libreria INGM9780122796708

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Descrizione libro Elsevier Science Publishing Co Inc, 2001. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780122796708

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Descrizione libro Elsevier Science Publishing Co Inc, 2001. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780122796708

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