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Year of publication
Subject
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Fourier-Analyse 104 Fourier analysis 102 Theorie 30 Theory 30 Time series analysis 25 Zeitreihenanalyse 25 USA 17 United States 17 Business cycle 15 Forecasting model 15 Konjunktur 15 Prognoseverfahren 15 Decomposition method 12 Dekompositionsverfahren 12 EU countries 12 EU-Staaten 12 Estimation 11 Euro area 11 Eurozone 11 Schätzung 11 Control theory 10 Finanzpolitik 10 Fiscal policy 10 Kontrolltheorie 10 State space model 9 Volatility 9 Volatilität 9 Zustandsraummodell 9 Maximum likelihood estimation 8 Maximum-Likelihood-Schätzung 8 Geldpolitik 7 Monetary policy 7 Risikoprämie 7 Risk premium 7 Stochastic process 7 Stochastischer Prozess 7 Bruttoinlandsprodukt 6 Business cycle theory 6 Gross domestic product 6 Konjunkturtheorie 6
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Online availability
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Free 63 Undetermined 21
Type of publication
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Book / Working Paper 78 Article 30
Type of publication (narrower categories)
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Graue Literatur 52 Non-commercial literature 52 Arbeitspapier 46 Working Paper 46 Article in journal 24 Aufsatz in Zeitschrift 24 Hochschulschrift 6 Thesis 6 Aufsatz im Buch 4 Book section 4 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 99 German 3 Portuguese 2 Undetermined 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 Beaudry, Paul 5 Galizia, Dana 5 Portier, Franck 5 Gallegati, Marco 4 Kilponen, Juha 3 Schennach, Susanne M. 3 Enders, Walter 2 Garcia, Enrique 2 Giri, Federico 2 Hurn, Stan 2 Mancino, Maria Elvira 2 Neusser, Klaus 2 Nielsen, Morten Ørregaard 2 Noack Jensen, Andreas 2 Pollock, David Stephen G. 2 Pollock, Stephen 2 Ramsey, James B. 2 Zhu, Jianwei 2 Albuquerque, Eduardo da Motta e 1 Anderluh, J. H. M. 1 Astill, Sam 1 Becker, Ralf 1 Bhandari, Avishek 1 Brandtner, Mario 1 Castro, Carlos Renato de Melo 1 Chen, Heng 1 Drapeau, Samuel 1 Esser, Andreas 1 Fleissig, Adrian R. 1 Franco, Marco P. Vianna 1 Fratianni, Michele 1 Fratianni, Michele U. 1
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Institution
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Friedrich-Schiller-Universität Jena 1 National Bureau of Economic Research 1 Springer International Publishing 1 Universität Kaiserslautern / Fachbereich Mathematik 1 Verlag Dr. Kovač 1
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 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 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 Oxford bulletin of economics and statistics 2 Acta Universitatis Danubius / Oeconomica 1 Applied economics 1 Applied quantitative finance 1 BI-Hochschultaschenbuch 1 CARF working paper 1 CREATES research paper 1 Computational economics 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 Econometric reviews 1 Economia aplicada : EA 1 Economic inquiry : journal of the Western Economic Association International 1 Economics letters 1 Evolutionary economics and social complexity science 1 Journal of econometrics 1 Journal of empirical finance 1 Journal of institutional and theoretical economics : JITE 1 Journal of open innovation : technology, market, and complexity 1 Journal of risk 1 Journal of the American Statistical Association : JASA 1 Journal of the Royal Statistical Society / B 1 Lecture notes in economics and mathematical systems : LNEMS 1 Lecture notes in economics and mathematical systems : operations research, computer science, social science 1 NBER Working Paper 1
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ECONIS (ZBW) 105 USB Cologne (EcoSocSci) 3
Showing 1 - 50 of 108
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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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Persistent link: https://ebtypo.dmz1.zbw/10013485890
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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
Persistent link: https://ebtypo.dmz1.zbw/10013348442
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Inference of jumps using wavelet variance
Chen, Heng; Shintani, Mototsugu - 2021
Persistent link: https://ebtypo.dmz1.zbw/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://ebtypo.dmz1.zbw/10012542572
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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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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 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...
Persistent link: https://ebtypo.dmz1.zbw/10012895133
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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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Persistent link: https://ebtypo.dmz1.zbw/10011965460
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012963438
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Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G. - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011581633
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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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Persistent link: https://ebtypo.dmz1.zbw/10011750757
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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
Persistent link: https://ebtypo.dmz1.zbw/10011716307
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Q, investment, and the financial cycle
Verona, Fabio - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011721190
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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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Persistent link: https://ebtypo.dmz1.zbw/10011573593
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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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A spectral EM algorithm for dynamic factor models
Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011799265
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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. - 2016
This paper uses wavelet-based optimal control to simulate fiscal and monetary strategies under different levels of policy restrictions. The model applies the Maximal Overlap Discrete Wavelet Transform (MODWT) to United States quarterly GDP data, and then uses the decomposed variables to build a...
Persistent link: https://ebtypo.dmz1.zbw/10012985266
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Modelowanie procesów finansowych, gospodarczych i społecznych z zastosowaniem analizy wielorozdielczej
Hadaś-Dyduch, Monika - 2019
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Persistent link: https://ebtypo.dmz1.zbw/10012008467
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Fiscal Policy Tracking Design in the Time Frequency Domain Using Wavelet Analysis
Crowley, Patrick M. - 2015
​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/10013030975
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Fast ML estimation of dynamic bifactor models : an application to European inflation
Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011408301
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A bias bound approach to nonparametric inference
Schennach, Susanne M. - 2015 - This version: November 15, 2015
The traditional approach to obtain valid confidence intervals for nonparametric quantities is to select a smoothing parameter such that the bias of the estimator is negligible relative to its standard deviation. While this approach is apparently simple, it has two drawbacks: First, the question...
Persistent link: https://ebtypo.dmz1.zbw/10011387175
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Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l’énergie
Nsouadi, Ange; Kamdem, Jules Sadefo; Terraza, Michel - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011300803
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A spectral representation of the Phillips Curve in Australia
Mallick, Debdulal - 2015
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Wavelets im Rahmen der Econophysik : eine naturwissenschaftlich geprägte Analyse von Finanzmärkten
Hodek, Jakub - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011326905
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Euro area monetary and fiscal policy tracking design in the timefrequency domain
Crowley, Patrick M.; Hudgins, David - 2015
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Persistent link: https://ebtypo.dmz1.zbw/10011327680
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Fast ML estimation of dynamic bifactor models : an application to European inflation
Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011796062
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Euro Area Monetary and Fiscal Policy Tracking Design in the Time-Frequency Domain
Crowley, Patrick M. - 2015
​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/10013017295
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Fast ML Estimation of Dynamic Bifactor Models : An Application to European Inflation
Fiorentini, Gabriele - 2015
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...
Persistent link: https://ebtypo.dmz1.zbw/10013014990
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Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns
Roberts, Leigh - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010242932
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Fiscal policy tracking design in the time frequency domain using wavelet analysis
Crowley, Patrick M.; Hudgins, David - 2014
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Persistent link: https://ebtypo.dmz1.zbw/10010465783
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Volatility transfers between cycles : a theory of why the "Great Moderation" was more mirage than moderation
Crowley, Patrick M.; Hughes Hallett, Andrew - 2014
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Persistent link: https://ebtypo.dmz1.zbw/10010416871
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A wavelet approach to synchronization of output cycles : conference paper
Esser, Andreas - 2014
The dynamic comovement between time series is a key concept in macroeconomic analysis. The extent to which series are cyclically synchronized is particularly important for evaluating the feasibility of common policy measures for groups of countries. This paper investigates concepts in the time...
Persistent link: https://ebtypo.dmz1.zbw/10010488495
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