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Autore: |
In Francis
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Titolo: |
An introduction to wavelet theory in finance : a wavelet multiscale approach / / Francis In, Sangbae Kim
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Pubblicazione: | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
Edizione: | 1st ed. |
Descrizione fisica: | 1 online resource (213 p.) |
Disciplina: | 332.01514742 |
332.015152433 | |
515.2433 | |
Soggetto topico: | Finance - Mathematical models |
Wavelets (Mathematics) | |
Altri autori: |
KimSangbae <1965->
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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 |
Titolo autorizzato: | An introduction to wavelet theory in finance ![]() |
ISBN: | 1-283-85075-3 |
981-4397-84-9 | |
Formato: | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910827657103321 |
Lo trovi qui: | Univ. Federico II |
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