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Year of publication
Subject
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Fourier analysis 178 Fourier-Analyse 136 Time series analysis 49 Zeitreihenanalyse 49 Theorie 48 Theory 48 Business cycle 38 Konjunktur 38 Volatility 26 Volatilität 26 USA 22 United States 22 State space model 21 Zustandsraummodell 21 Forecasting model 18 Prognoseverfahren 18 Estimation 16 Schätzung 16 Stochastic process 15 Stochastischer Prozess 15 Decomposition method 14 Dekompositionsverfahren 14 Financial market 13 Finanzmarkt 13 Estimation theory 11 Schätztheorie 11 Bruttoinlandsprodukt 10 EU countries 10 EU-Staaten 10 Finanzpolitik 10 Fiscal policy 10 Gross domestic product 10 Neoclassical synthesis 10 Neoklassische Synthese 10 Optionspreistheorie 10 Business cycle theory 9 Konjunkturtheorie 9 Option pricing theory 9 Control theory 8 Fourier Analysis 8
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Online availability
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Free 101 Undetermined 61 CC license 8
Type of publication
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Book / Working Paper 104 Article 88
Subcategories
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Article in journal 82 Working paper 62 Book section 6 Proceedings 4 Textbook 2 Case study 1
Language
All
English 168 Undetermined 17 German 3 Portuguese 2 French 1 Polish 1
Author
All
Crowley, Patrick M. 17 Verona, Fabio 14 Hudgins, David 10 Mancino, Maria Elvira 10 Fiorentini, Gabriele 8 Galesi, Alessandro 8 Sentana, Enrique 8 Beaudry, Paul 7 Galizia, Dana 7 Portier, Franck 7 Faria, Gonçalo 6 Sanfelici, Simona 6 Li, Yushu 5 Pollock, David Stephen G. 5 Pollock, Stephen 5 Gallegati, Marco 4 Van Vuuren, Gary 4 Zhu, Jianwei 4 Hughes Hallett, Andrew 3 Kilponen, Juha 3 Neusser, Klaus 3 Nielsen, Morten Ørregaard 3 Schennach, Susanne M. 3 Ardila, Diego 2 Barton, Russell R. 2 Bezuidenhout, John-Morgan 2 Bhandari, Avishek 2 Boyko, Anton 2 Bozhenko, Victoria 2 Campuzano, Carlos 2 Cascio, Iolanda Lo 2 Dumlao, Samuel Matthew G. 2 Enders, Walter 2 Franco, Giovanni 2 Fratianni, Michele 2 Garcia, Enrique 2 Giri, Federico 2 Gong, Jiong 2 Gonzalez, Rodrigo Barbone 2 Gutiérrez, Martha 2
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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 14 Computational economics 3 Discussion paper / Centre for Economic Policy Research 3 Oxford bulletin of economics and statistics 3 SpringerLink / Bücher 3 Working paper / Department of Economics, Lund University 3 Annals of the Institute of Statistical Mathematics 2 CEF.UP working paper 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Discussion paper series / Centre for Economic Policy Research / International macroeconomics 2 Discussion papers / University of Leicester, Department of Economics 2 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 2 European journal of operational research : EJOR 2 Finance and stochastics 2 Journal of Time Series Econometrics 2 Journal of econometrics 2 Journal of the history of economic thought 2 Nonlinearities in economics : an interdisciplinary approach to economic dynamics, growth and cycles 2 Physica A: Statistical Mechanics and its Applications 2 Risks : open access journal 2 Springer Texts in Business and Economics 2 Série de trabalhos para discussão 2 Working Papers - Mathematical Economics 2 Working paper 2 Working paper / Central Bank of Iceland 2 Acta Universitatis Danubius / Oeconomica 1 Applied economics 1 Applied quantitative finance 1 BI-Hochschultaschenbuch 1 Banco de Espana Working Paper 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 CARF working paper 1 CEMFI working paper 1 CREATES research paper 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Decisions in economics and finance : a journal of applied mathematics 1 Discussion Papers Series 1
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Source
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ECONIS (ZBW) 163 RePEc 18 EconStor 7 USB Cologne (EcoSocSci) 3 Other ZBW resources 1
Showing 1 - 50 of 150
 
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Statistical process control for queue length trajectories using Fourier analysis
Morgan, Lucy E.; Barton, Russell R. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433236
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Symmetric positive semi-definite Fourier estimator of spot covariance matrix with high frequency data
Akahori, Jiro; Kambara, Reika; Liu, Nien-Lin; Mancino, … - 2025
This paper proposes a nonparametric estimator of the spot volatility matrix with high-frequency data. Our newly proposed Positive Definite Fourier (PDF) estimator produces symmetric positive semi-definite estimates and is consistent with a suitable choice of the localizing kernel. The PDF...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492652
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Identifying the number of latent factors of stochastic volatility models
Allaj, Erindi; Mancino, Maria Elvira; Sanfelici, Simona - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593603
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Exploring market efficiency in cryptocurrencies : fourier analysis of non-linear dynamics and breaks
Öztürk, Cemal - 2025
This study evaluates cryptocurrency market efficiency through an analysis of 25 leading cryptocurrencies traded between 2014 and 2024. This research employs the Augmented Dickey-Fuller (ADF) test and its Fourier-augmented variant (Fourier ADF, FADF), the Kapetanios-Shin-Snell (KSS) test, and its...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591994
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Can customer arrival rates be modelled by sine waves?
Chen, Ningyuan; Gürlek, Ragıp; Lee, Donald K. K.; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014564195
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Value-at-risk under measurement error
Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543504
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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...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013485890
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Time Series Econometrics
Neusser, Klaus - 2025 - 2nd ed. 2025.
Introduction -- ARMA models -- Forecasting stationary processes -- Estimation of Mean and Autocovariance Function -- Estimation of ARMA Models -- Spectral Analysis and Linear Filters -- Integrated Processes -- Models of Volatility -- Multivariate Time series -- Estimation of Covariance Function...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406991
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Time Series Econometrics
Neusser, Klaus - 2016
Book / Working Paper
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Time series econometrics
Neusser, Klaus - 2016
Book / Working Paper
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Performance of green finance : an evaluation of the OIC countries in the scope of 2030 Sustainable Development Goals
Kazak, Hasan; Rahman, Mohammad Mafizur; Tayfur Akcan, Ahmet - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554805
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Spot beta estimation with asynchronous noisy prices
Mancino, Maria Elvira; Mariotti, Tommaso; Toscano, Giacomo - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534146
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Financial cycles in euro area economies : a cross-country perspective using wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013348442
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The spillover effect of agricultural product market price fluctuation based on fourier analysis
Zhang, Canyu; Tian, Guixian; Tao, Yongchao - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014299668
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Detecting edgeworth cycles
Holt, Timothy; Igami, Mitsuru; Scheidegger, Simon - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014633698
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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526318
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014001392
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Wavelet decomposition of the financial cycle : an early warning system for financial tsunamis
Voutilainen, Ville - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011706519
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Wavelet Decomposition of the Financial Cycle : An Early Warning System for Financial Tsunamis
Voutilainen, Ville - 2021
Book / Working Paper
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - 2021
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013184434
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Financial cycles : how long and how certain?
Gonzalez, Rodrigo Barbone; Marinho, Leonardo Sousa Gomes; … - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014253206
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Inference of jumps using wavelet variance
Chen, Heng; Shintani, Mototsugu - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012813628
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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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012542572
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Reproducing solar curtailment with Fourier analysis using Japan dataset
Dumlao, Samuel Matthew G.; Ishihara, Keiichi N. - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012652241
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200653
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Evaluating investment decisions based on the business cycle: A South African sector approach
Jansen van Rensburg, Johnny; Van Vuuren, Gary - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014001349
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Evaluating investment decisions based on the business cycle : a South African sector approach
Jansen van Rensburg, Johnny; Van Vuuren, Gary - 2020
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013179695
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Medidas de núcleo de inflação para o Brasil baseadas no método wavelets?
Silva, Nelson da - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012404319
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Improving early warning system indicators for crisis manifestations in the Russian economy
Semin, Alexander; Vasiljeva, Marina; Sokolov, Alexander; … - 2020
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012414330
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Reproducing solar curtailment with Fourier analysis using Japan dataset
Dumlao, Samuel Matthew G.; Ishihara, Keiichi N. - 2020
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012179337
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An Analysis of Lead-Lag Relationship between Stock Returns Using Spectral Methods
Bhandari, Avishek - 2020
This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important in discovering and interpreting the relationships between economic variables, are used to analyze the relationships between different...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012855987
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - 2020
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012390464
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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; … - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012703566
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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
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011965460
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Money Growth and Inflation : International Historical Evidence on High Inflation Episodes for Developed Countries
Gallegati, Marco - 2019
Book / Working Paper
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Q, investment, and the financial cycle
Verona, Fabio - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011721190
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Q, Investment, and the Financial Cycle
Verona, Fabio - 2019
Book / Working Paper
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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; … - 2019
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012221542
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Tracking financial cycles in ten transitional economies 2005-2018 using singular spectrum analysis (SSA) techniques
Škare, Marinko; Porada-Rochoń, Małgorzata - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012232027
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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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012027486
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Financial cycles as early warning indicators : lessons from the Nordic region
Önundur Páll Ragnarsson; Hannesson, Jón Magnús; … - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011992493
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Singular spectrum analysis for real-time financial cycles measurement
Coussin, Maximilien - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013417341
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Beyond random causes : harmonic analysis of business cycles at the Moscow Conjuncture Institute
Franco, Marco Paulo Vianna; Ribeiro, Leonardo Costa; … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013367219
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Wavelet power spectrum analysis of ETF's tracking error
Nieves-González, Aniel; Rodríguez, Javier; Vega … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013370525
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The oil price-macroeconomic fundamentals nexus for emerging market economies : evidence from a wavelet analysis
Tiwari, Aviral Kumar; Raheem, Ibrahim D.; Bozoklu, Seref; … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012815114
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Fourier trajectory analysis for system discrimination
Morgan, Lucy E.; Barton, Russell R. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012820156
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Filters, waves and spectra
Pollock, D. Stephen G. - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011995226
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Filters, waves and spectra
Pollock, David Stephen G. - 2018
Article
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Financial cycles in euro area economies : a cross-country perspective
Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018
We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011809188
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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 … - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011954571
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Modelling a small open economy using a wavelet-based control model
Hudgins, David; Crowley, Patrick M. - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011750757
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Modelling a Small Open Economy Using a Wavelet-Based Control Model
Hudgins, David - 2017
Book / Working Paper
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Testing the Q theory of investment in the frequency domain
Kilponen, Juha; Verona, Fabio - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011716307
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Testing the Q theory of investment in the frequency domain
Kilponen, Juha; Verona, Fabio - 2016
Book / Working Paper
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Testing the Q Theory of Investment in the Frequency Domain
Kilponen, Juha - 2017
Book / Working Paper
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012102423
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Book / Working Paper
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2016
Book / Working Paper
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Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts
Faria, Gonçalo - 2017
Book / Working Paper
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Time-frequency characterization of the U.S. financial cycle
Verona, Fabio - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011617210
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Time-frequency characterization of the U.S. financial cycle
Verona, Fabio - 2016
Book / Working Paper
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Time-Frequency Characterization of the U.S. Financial Cycle
Verona, Fabio - 2017
Book / Working Paper
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Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK
Strohsal, Till; Proano, Christian; Wolters, Jürgen - 2017
In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011710009
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Econometric filters
Pollock, David Stephen G. - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011713098
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Econometric filters
Pollock, David Stephen G. - 2017
Book / Working Paper
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Econometric filters
Pollock, Stephen - 2014
Book / Working Paper
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