The paper considers some of the issues emerging from the discrete wavelet analysis of popular bivariate spectral quantities such as the coherence and phase spectra and the frequency-dependent time delay. The approach utilised here is based on the maximal overlap discrete Hilbert wavelet...

The paper considers some of the problems emerging from discrete wavelet analysis of popular bivariate spectral quantities like the coherence and phase spectra and the frequency-dependent time delay. The approach taken here, introduced by Whitcher and Craigmile (2004), is based on the maximal...

In the paper we suggest a wavelet methodology of asset classification into defensive and cyclical groups. We demonstrate that such tools of bivariate wavelet analysis like wavelet gain, coherency, phase-locking value, and amplitude correlation together with term structures of risk defined via...