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

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 1st Edition

 
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 1st Edition,Ramazan Gençay,Faruk Selçuk,Brandon Whitcher,ISBN9780122796708
 
 
 

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Academic Press

9780122796708

9780080509228

359

229 X 152

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Key Features

*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

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.

Readership

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.

Ramazan Gençay

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.

Affiliations and Expertise

Simon Fraser University, Burnaby, British Columbia, Canada

Faruk Selçuk

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.

Affiliations and Expertise

Bilkent University, Ankara, Turkey

Brandon Whitcher

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.

Affiliations and Expertise

National Center for Atmospheric Research, Boulder, Colorado, U.S.A.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 1st Edition

Preface
Introduction
Linear Filters
Optimum Linear Estimation
Discrete Wavelet Transforms
Wavelets and Stationary Processes
Wavelet Denoising
Wavelets for Variance-Covariance Estimation
Artificial Neural Networks

 
 
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