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Year of publication
Subject
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Fourier analysis 137 Fourier-Analyse 102 Theorie 38 Theory 38 Time series analysis 31 Zeitreihenanalyse 31 USA 19 United States 19 Business cycle 18 Konjunktur 18 Forecasting model 16 Prognoseverfahren 16 Estimation 13 Schätzung 13 Volatility 13 Volatilität 13 Decomposition method 12 Dekompositionsverfahren 12 EU countries 12 EU-Staaten 12 State space model 12 Zustandsraummodell 12 Euro area 11 Eurozone 11 Control theory 10 Finanzpolitik 10 Fiscal policy 10 Kontrolltheorie 10 Optionspreistheorie 9 Stochastic process 9 Stochastischer Prozess 9 Maximum likelihood estimation 8 Maximum-Likelihood-Schätzung 8 Option pricing theory 8 Bruttoinlandsprodukt 7 Geldpolitik 7 Gross domestic product 7 Monetary policy 7 Portfolio selection 7 Portfolio-Management 7
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Online availability
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Free 81 Undetermined 41
Type of publication
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Book / Working Paper 85 Article 64
Type of publication (narrower categories)
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Graue Literatur 53 Non-commercial literature 53 Arbeitspapier 47 Working Paper 47 Article in journal 40 Aufsatz in Zeitschrift 40 Article 6 Aufsatz im Buch 6 Book section 6 Hochschulschrift 6 Thesis 6 Conference paper 3 Konferenzbeitrag 3 Amtliche Publikation 1 Case study 1 Collection of articles of several authors 1 Collection of articles written by one author 1 Dissertation u.a. Prüfungsschriften 1 Fallstudie 1 Forschungsbericht 1 Konferenzschrift 1 Lehrbuch 1 Sammelwerk 1 Sammlung 1 Textbook 1
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Language
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English 125 Undetermined 17 German 3 Portuguese 2 French 1 Polish 1
Author
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Crowley, Patrick M. 14 Verona, Fabio 13 Fiorentini, Gabriele 10 Galesi, Alessandro 10 Hudgins, David 10 Sentana, Enrique 10 Faria, Gonçalo 7 Li, Yushu 6 Mancino, Maria Elvira 6 Beaudry, Paul 5 Galizia, Dana 5 Portier, Franck 5 Sanfelici, Simona 5 Gallegati, Marco 4 Pollock, Stephen 4 Van Vuuren, Gary 4 Kilponen, Juha 3 Pollock, David Stephen G. 3 Schennach, Susanne M. 3 Zhu, Jianwei 3 Bezuidenhout, John-Morgan 2 Boyko, Anton 2 Bozhenko, Victoria 2 Campuzano, Carlos 2 Dumlao, Samuel Matthew G. 2 Enders, Walter 2 Franco, Giovanni 2 Garcia, Enrique 2 Giri, Federico 2 Gutiérrez, Martha 2 Hurn, Stan 2 Ishihara, Keiichi N. 2 Jansen van Rensburg, Johnny 2 Levchenko, Valentyna 2 Mynenko, Serhii 2 Neusser, Klaus 2 Nielsen, Morten Ørregaard 2 Noack Jensen, Andreas 2 Ramsey, James B. 2 Aguirre, Antonio 1
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Institution
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Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 2 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Friedrich-Schiller-Universität Jena 1 National Bureau of Economic Research 1 School of Economics and Finance, Queen Mary 1 Springer International Publishing 1 Universität Kaiserslautern / Fachbereich Mathematik 1 Verlag Dr. Kovač 1
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Published in...
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Bank of Finland research discussion papers 15 Bank of Finland Research Discussion Paper 10 Discussion paper / Centre for Economic Policy Research 3 Working paper / Department of Economics, Lund University 3 Annals of the Institute of Statistical Mathematics 2 Banco de Espana Working Paper 2 CEF.UP working paper 2 CEMFI working paper 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Computational economics 2 Discussion papers / University of Leicester, Department of Economics 2 Documentos de trabajo / Banco de España 2 Economic modelling 2 Finance and stochastics 2 Journal of the history of economic thought 2 Nonlinearities in economics : an interdisciplinary approach to economic dynamics, growth and cycles 2 Oxford bulletin of economics and statistics 2 Physica A: Statistical Mechanics and its Applications 2 Working Papers - Mathematical Economics 2 Acta Universitatis Danubius / Oeconomica 1 Applied economics 1 Applied quantitative finance 1 BI-Hochschultaschenbuch 1 CARF working paper 1 CREATES research paper 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion papers / Department of Economics, University of Copenhagen 1 Document de recherche / Laboratoire Montpelliérain d'Économie Théorique et Appliquée 1 Dynamic factor models 1 Dynamic modeling, empirical macroeconomics, and finance : essays in honor of Willi Semmler 1 EconStor Books 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric reviews 1 Econometrics 1 Econometrics : open access journal 1 Economia aplicada : EA 1 Economic inquiry : journal of the Western Economic Association International 1
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Source
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ECONIS (ZBW) 122 RePEc 18 EconStor 6 USB Cologne (EcoSocSci) 3
Showing 1 - 50 of 149
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Forecast combination in the frequency domain
Faria, Gonçalo; Verona, Fabio - 2023
Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...
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Financial cycles in euro area economies : a cross-country perspective using wavelet analysis
Mandler, Martin; Scharnagl, Michael - In: Oxford bulletin of economics and statistics 84 (2022) 3, pp. 569-593
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Inference of jumps using wavelet variance
Chen, Heng; Shintani, Mototsugu - 2021
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House price and economic activity in India : a Wavelet analysis
Pal, Swarup Kumar; Saha, Anjana; Ray, Partha - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012542572
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...
Persistent link: https://ebtypo.dmz1.zbw/10013184434
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-23
This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...
Persistent link: https://ebtypo.dmz1.zbw/10014001392
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - In: Risks 8 (2020) 4, pp. 1-17
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...
Persistent link: https://ebtypo.dmz1.zbw/10013200653
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Reproducing solar curtailment with Fourier analysis using Japan dataset
Dumlao, Samuel Matthew G.; Ishihara, Keiichi N. - In: Energy Reports 6 (2020) 2, pp. 199-205
Curtailment of variable renewable energy increases the Levelized Cost of Energy (LCOE), which is the tool often used to compare its profitability against traditional energy sources. Recently, the Kyushu Region of Japan had to curtail some of its solar production to meet energy balance. As many...
Persistent link: https://ebtypo.dmz1.zbw/10012652241
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Medidas de núcleo de inflação para o Brasil baseadas no método wavelets?
Silva, Nelson da - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012404319
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Improving early warning system indicators for crisis manifestations in the Russian economy
Semin, Alexander; Vasiljeva, Marina; Sokolov, Alexander; … - In: Journal of open innovation : technology, market, and … 6 (2020) 4/171, pp. 1-21
The study is aimed at determining the oscillators of crisis manifestations when the Russian economy tries to make transition to the path for accelerating technological development and forming an innovative economy. Short-term cycles were determined in the development of the Russian economy from...
Persistent link: https://ebtypo.dmz1.zbw/10012414330
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...
Persistent link: https://ebtypo.dmz1.zbw/10012390464
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Reproducing solar curtailment with Fourier analysis using Japan dataset
Dumlao, Samuel Matthew G.; Ishihara, Keiichi N. - In: Energy reports 6 (2020) 2, pp. 199-205
Curtailment of variable renewable energy increases the Levelized Cost of Energy (LCOE), which is the tool often used to compare its profitability against traditional energy sources. Recently, the Kyushu Region of Japan had to curtail some of its solar production to meet energy balance. As many...
Persistent link: https://ebtypo.dmz1.zbw/10012179337
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Evaluating investment decisions based on the business cycle : a South African sector approach
Jansen van Rensburg, Johnny; Van Vuuren, Gary - In: Cogent economics & finance 8 (2020) 1, pp. 1-24
Sector investing aims to guide investors in identifying undervalued securities. Knowing which sectors flourish at different phases of the business cycle, investment returns may be boosted by increasing holdings in securities from strengthening sectors and reducing holdings in weakening ones. As...
Persistent link: https://ebtypo.dmz1.zbw/10013179695
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Evaluating investment decisions based on the business cycle: A South African sector approach
Jansen van Rensburg, Johnny; Van Vuuren, Gary - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-24
Sector investing aims to guide investors in identifying undervalued securities. Knowing which sectors flourish at different phases of the business cycle, investment returns may be boosted by increasing holdings in securities from strengthening sectors and reducing holdings in weakening ones. As...
Persistent link: https://ebtypo.dmz1.zbw/10014001349
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Fourier trajectory analysis for system discrimination
Morgan, Lucy E.; Barton, Russell R. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 203-217
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Beyond random causes : harmonic analysis of business cycles at the Moscow Conjuncture Institute
Franco, Marco P. Vianna; Ribeiro, Leonardo Costa; … - In: Journal of the history of economic thought 44 (2022) 3, pp. 456-476
Persistent link: https://ebtypo.dmz1.zbw/10013367219
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Money laundering risk in developing and transitive economies: Analysis of cyclic component of time series
Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas: Teorija ir praktika / Business: Theory and Practice 20 (2019), pp. 492-508
Money laundering has become a global threat to the international stability and security, leading both to economic and social upheavals, and to an increase in terrorist threats. Therefore, an objective necessity arises for a more detailed study of the money laundering within the scope of its...
Persistent link: https://ebtypo.dmz1.zbw/10012703566
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Money Growth and Inflation : International Historical Evidence on High Inflation Episodes for Developed Countries
Gallegati, Marco - 2019
How long is the long run in the relationship between money growth and inflation? How important are high inflation episodes for the unit slope finding in the quantity theory of money? To answer these questions we study the relationship between excess money growth and inflation over time and...
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Phillips' averaging procedure as a "crude'´" version of the Haar wavelet filter
Gallegati, Marco; Ramsey, James B. - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012027486
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Money growth and inflation : international historical evidence on high inflation episodes for developed countries
Gallegati, Marco; Giri, Federico; Fratianni, Michele - 2019
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Money laundering risk in developing and transitive economies : analysis of cyclic component of time series
Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 20 (2019), pp. 492-508
Money laundering has become a global threat to the international stability and security, leading both to economic and social upheavals, and to an increase in terrorist threats. Therefore, an objective necessity arises for a more detailed study of the money laundering within the scope of its...
Persistent link: https://ebtypo.dmz1.zbw/10012221542
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Disentangling the enigma of multi-structured economic cycles : a new appearance of the golden ratio
Groot, Engelbert Anthony de; Segers, Rene; Prins, David - In: Technological forecasting & social change : an … 169 (2021), pp. 1-19
Persistent link: https://ebtypo.dmz1.zbw/10012802969
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Signal processing
Stoop, Ruedi - In: Nonlinearities in economics : an interdisciplinary …, (pp. 111-121). 2021
In this chapter, I present a specific view of signal processing. I provide the basic definitions regarding what - according to our view - signal processing should be seen as, and I elucidate in this perspective the meaning of a selection of relevant algorithms and approaches.
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Applied spectral analysis
Della Rossa, Fabio; Guerrero, Julio; Orlando, Giuseppe; … - In: Nonlinearities in economics : an interdisciplinary …, (pp. 123-139). 2021
In this chapter, we first explain what we mean by a signal, and then we describe some characteristics such as energy, frequency, phase, power spectrum, etc. We show how to analyse it by the means of spectral analysis and Fourier transform. Moreover, as the Fourier transform does not provide any...
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Filters, waves and spectra
Pollock, D. Stephen G. - In: Econometrics 6 (2018) 3, pp. 1-33
Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...
Persistent link: https://ebtypo.dmz1.zbw/10011995226
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Are oil prices mean reverting? : evidence from unit root tests with sharp and smooth breaks
Lawal, Adedoyin Isola; Babajide, Abiola; Nwanji, Tony … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 6, pp. 292-298
Persistent link: https://ebtypo.dmz1.zbw/10011954571
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Filters, waves and spectra
Pollock, David Stephen G. - In: Econometrics : open access journal 6 (2018) 3, pp. 1-33
Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...
Persistent link: https://ebtypo.dmz1.zbw/10011887657
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Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors
Faria, Gonçalo - 2017
We show that the out-of-sample forecast of the equity risk premium can be significantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors. We consider fifteen predictors from the existing literature, for the...
Persistent link: https://ebtypo.dmz1.zbw/10012963436
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Testing the Q Theory of Investment in the Frequency Domain
Kilponen, Juha - 2017
We revisit the empirical performance of the Q theory of investment, explicitly taking into account the frequency dependence of investment, Tobin's Q, and cash flow. The time series are decomposed into orthogonal components of different frequencies using wavelet multiresolution analysis. We find...
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Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G. - 2017
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Modelling a small open economy using a wavelet-based control model
Hudgins, David; Crowley, Patrick M. - 2017
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Wavelet decomposition of the financial cycle : an early warning system for financial tsunamis
Voutilainen, Ville - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011706519
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Testing the Q theory of investment in the frequency domain
Kilponen, Juha; Verona, Fabio - 2017
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Q, investment, and the financial cycle
Verona, Fabio - 2017
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011817412
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Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts
Faria, Gonçalo - 2017
We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts...
Persistent link: https://ebtypo.dmz1.zbw/10012967229
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A bias bound approach to non-parametric inference
Schennach, Susanne M. - In: The review of economic studies : RES 87 (2020) 5, pp. 2439-2472
Persistent link: https://ebtypo.dmz1.zbw/10012387190
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New perspectives on Henry Ludwell Moore's use of harmonic analysis
Turner, Paul; Wood, Justine - In: Journal of the history of economic thought 42 (2020) 4, pp. 507-520
Persistent link: https://ebtypo.dmz1.zbw/10012437461
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Putting the cycle back into business cycle analysis
Beaudry, Paul; Galizia, Dana; Portier, Franck - In: The American economic review 110 (2020) 1, pp. 1-47
Persistent link: https://ebtypo.dmz1.zbw/10012205749
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Euro Area Monetary and Fiscal Policy Tracking Design in the Time-Frequency Domain
Crowley, Patrick M. - 2016
This paper first applies the MODWT (Maximal Overlap Discrete Wavelet Transform) to Euro Area quarterly GDP data from 1995 – 2014 to obtain the underlying cyclical structure of the GDP components. We then design optimal fiscal and monetary policy within a large state-space LQ-tracking wavelet...
Persistent link: https://ebtypo.dmz1.zbw/10013003197
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Fiscal Policy Tracking Design in the Time Frequency Domain Using Wavelet Analysis
Crowley, Patrick M. - 2016
In this paper discrete wavelet filtering techniques are applied to decompose macroeconomic data so that they can be simultaneously analyzed in both the time and frequency domains. The MODWT (Maximal Overlap Discrete Wavelet Transform) is applied to U.S. quarterly GDP data from 1947–2012 to...
Persistent link: https://ebtypo.dmz1.zbw/10013003198
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Putting the Cycle Back into Business Cycle Analysis
Beaudry, Paul - 2016
This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...
Persistent link: https://ebtypo.dmz1.zbw/10012979357
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A Spectral EM Algorithm for Dynamic Factor Models
Fiorentini, Gabriele - 2016
We make two complementary contributions to efficiently estimate dynamic factor models: a frequency domain EM algorithm and a swift iterated indirect inference procedure for ARMA models with no asymptotic efficiency loss for any finite number of iterations. Although our procedures can estimate...
Persistent link: https://ebtypo.dmz1.zbw/10012982178
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Testing the Q theory of investment in the frequency domain
Kilponen, Juha; Verona, Fabio - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011587721
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Forecasting the equity risk premium with frequency-decomposed predictors
Faria, Gonçalo; Verona, Fabio - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011587731
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Putting the cycle back into business cycle analysis
Beaudry, Paul; Galizia, Dana; Portier, Franck - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011585391
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Putting the Cycle Back into Business Cycle Analysis
Beaudry, Paul - 2016
This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...
Persistent link: https://ebtypo.dmz1.zbw/10012455855
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Time-frequency characterization of the U.S. financial cycle
Verona, Fabio - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011475758
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2016
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Analysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking control
Crowley, Patrick M.; Hudgins, David - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011524358
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