Wavelets in Economics and Finance: Past and Future

James B. Ramsey

131 citations0/0 files storedStudies in Nonlinear Dynamics and Econometrics

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

Abstract

In this paper I review what insights we have gained about economic and financial relationships from the use of wavelets and speculate on what further insights we may gain in the future. Wavelets are treated as a 'lens' that enables the researcher to explore relationships that previously were unobservable.

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2000Nonlinear Time Series Models in Empirical Finance 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 1990Lectures on Macroeconomics.1997Elements of Forecasting 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS 1999The contribution of wavelets to the analysis of economic and financial data 2001Scaling properties of foreign exchange volatility

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