It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet multi-resolution analysis, a time series can be decomposed into different timescale components and a model can be fitted to each component to improve the forecast accuracy of the...

This study proposes a wavelet-based multi-resolution BEKK-GARCH model to investigate spillover effects across financial markets. Compared with traditional multivariate GARCH analysis, the proposed model can identify or decompose cross-market spillovers on multiple resolutions. Taking two highly...