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BestsellerE-book
Author Gençay, Ramazan.

Title An introduction to wavelets and other filtering methods in finance and economics / Ramazan Gençay, Faruk Selçuk, Brandon Whitcher.

Publication Info. San Diego, Calif. : Academic Press, [2002]
©2002

Item Status

Description 1 online resource (xxii, 359 pages) : illustrations
Physical Medium polychrome
Description text file
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.
Bibliography Includes bibliographical references (pages 323-348) and index.
Summary 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.
Local Note eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject Finance -- Mathematical models.
Finance -- Mathematical models.
Economics -- Mathematical models.
Economics -- Mathematical models.
Wavelets (Mathematics)
Wavelets (Mathematics)
Econometrics.
Econometrics.
Genre/Form Electronic books.
Added Author Selçuk, Faruk.
Whitcher, Brandon.
Other Form: Print version: Gençay, Ramazan. Introduction to wavelets and other filtering methods in finance and economics. San Diego, Calif. : Academic Press, ©2002 9780122796708 (DLC) 2001094298 (OCoLC)48241811
ISBN 9780122796708 (electronic book)
0122796705 (electronic book)
9780080509228 (electronic book)
0080509223 (electronic book)