An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim

• Record Nr.: UNINA9910464784103321
• Autore: In Francis
• Pubbl/distr/stampa: Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013
• ISBN: 1-283-85075-3; 981-4397-84-9
• Descrizione fisica: 1 online resource (213 p.)
• Altri autori (Persone): KimSangbae <1965->
• Disciplina: 332.01514742; 332.015152433; 515.2433
• Soggetti: Finance - Mathematical models; Wavelets (Mathematics); Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. 191-202) and index.
• Nota di contenuto: Contents; 1. Methodology: Introduction to Wavelet Analysis; 1.1 Introduction; 1.2 Fourier Analysis and Spectral Analysis; 1.2.1 Fourier analysis; 1.2.2 Spectral analysis; 1.2.3 Comparison between Fourier transform and wavelet transform; 1.3 Wavelet Analysis; 1.3.1 Continuous wavelet transform; Scale of wavelets; Shifting of wavelets; 1.3.2 Discrete wavelet transform; 1.3.3 Maximal overlap discrete wavelet transform; 1.3.4 Boundary condition; Periodic boundary; Reflection boundary; Brick wall condition; 1.4 Wavelet Variance, Covariance and Correlation; 1.4.1 Wavelet variance; 1.4.2 Wavelet covariance and correlation1.4.3 Cross wavelet covariance and correlation; 1.5 Long Memory Estimation Using Wavelet Analysis; 1.5.1 Definitions of long memory; 1.5.2 Wavelet ordinary least square; 1.5.3 Approximate maximum-likelihood estimation of the long memory parameter; 1.5.4 Another estimation method of the long memory parameter; 2. Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data; 2.1 Introduction; 2.2 Minimum Variance Hedge; 2.3 Empirical Results; 2.4 Concluding Remarks; 3. Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach3.1 Introduction; 3.2 Data and Descriptive Statistics; 3.3 Empirical Results; 3.4 Concluding Remarks; 4. Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis; 4.1 Introduction; 4.2 Data and Empirical Results; 4.3 Summary and Concluding Remarks; 5. Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis; 5.1 Introduction; 5.2 Data Description and Basic Statistics; 5.3 Empirical Results; 5.4 Concluding RemarksAppendix. The market values of sample companies as of 2002; 6. On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis; 6.1 Introduction; 6.2 Data and Basic Statistics; 6.3 Empirical Results; 6.3.1 Results from the traditional CAPM; 6.3.2 Results using two risk factors: Excess market returns and SMB; 6.3.3 Results using three factors: Excess market returns, SMB and HML; 6.4 Concluding Remarks; 7. Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run?; 7.1 Introduction; 7.2 Data and Basic Statistics; 7.3 Empirical Results7.3.1 Traditional CAPM context; 7.3.2 Fama-French three factor model; 7.3.3 Fama-French three-factor model augmented by the momentum factor; 7.4 Conclusion; 8. Multiscale Relationships Between Stock Returns and Inflations: International Evidence; 8.1 Introduction; 8.2 Research Methodologies; 8.2.1 The multi-scale hedge ratio; 8.2.2 The bootstrap approach; 8.3 Data and Empirical Results; 8.4 Summary and Concluding Remarks; Appendix A. Data sources; 9. Mutual Fund Performance and Investment Horizon; 9.1 Introduction; 9.2 Sharpe Ratio at Different Investment Horizons; 9.3 Data and Empirical Results
• Sommario/riassunto: This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation - in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of th