An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by Ramazan GenAn Introduction to Wavelets and Other Filtering Methods in Finance and Economics by Ramazan Gen

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

byRamazan Gen, Faruk Sel, Brandon J. Whitcher

Hardcover | September 12, 2001

Pricing and Purchase Info

$182.75 online 
$190.50 list price
Earn 914 plum® points
Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

An Introduction to Wavelets and Other Filtering Methods in Finance and Economicspresents 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
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 theJournal of the...
Loading
Title:An Introduction to Wavelets and Other Filtering Methods in Finance and EconomicsFormat:HardcoverDimensions:359 pages, 9 × 6 × 0.98 inPublished:September 12, 2001Language:English

The following ISBNs are associated with this title:

ISBN - 10:0122796705

ISBN - 13:9780122796708

Look for similar items by category:

Reviews

Table of 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

Editorial Reviews

"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