An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
Authors: Gençay Ramazan, Selçuk Faruk, Whitcher Brandon J.Language: Anglais
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359 p. · 15.2x22.9 cm · Hardback
*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
Optimum Linear Estimation
Discrete Wavelet Transforms
Wavelets and Stationary Processes
Wavelets for Variance-Covariance Estimation
Artificial Neural Networks
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.