Search Results - subject_exact:"Fourier-Analyse"

Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543504

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

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

Time Series Econometrics

Neusser, Klaus - 2016

Book / Working Paper

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

Detecting edgeworth cycles

Holt, Timothy; Igami, Mitsuru; Scheidegger, Simon - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014633698

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

Inference of jumps using wavelet variance

Chen, Heng; Shintani, Mototsugu - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012813628

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

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

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

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

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

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

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

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

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

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

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

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

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

Singular spectrum analysis for real-time financial cycles measurement

Coussin, Maximilien - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013417341

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

Filters, waves and spectra

Pollock, David Stephen G. - 2018

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011887657

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

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2016

Book / Working Paper

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Faria, Gonçalo - 2017

Book / Working Paper

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

Econometric filters

Pollock, Stephen - 2014

Book / Working Paper

Trends cycles and seasons : econometric methods of signal extraction

Pollock, David Stephen G. - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012038592

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Trends cycles and seasons : econometric methods of signal extraction

Pollock, David Stephen G. - 2017

Book / Working Paper

Trends cycles and seasons : econometric methods of signal extraction

Pollock, Stephen - 2014

Book / Working Paper

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

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

Testing the Q Theory of Investment in the Frequency Domain

Kilponen, Juha - 2017

Book / Working Paper

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

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

Time-Frequency Characterization of the U.S. Financial Cycle

Verona, Fabio - 2017

Book / Working Paper

Applied spectral analysis

Della Rossa, Fabio; Guerrero, Julio; Orlando, Giuseppe; … - 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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012648037

Putting the cycle back into business cycle analysis

Beaudry, Paul; Galizia, Dana; Portier, Franck - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012205749

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Putting the cycle back into business cycle analysis

Beaudry, Paul; Galizia, Dana; Portier, Franck - 2016

Book / Working Paper

Putting the cycle back into business cycle analysis

Beaudry, Paul; Galizia, Dana; Portier, Franck - 2016

Book / Working Paper

Putting the cycle back into business cycle analysis

Beaudry, Paul; Galizia, Dana; Portier, Franck - 2016

Book / Working Paper

Putting the cycle back into business cycle analysis

Beaudry, Paul; Galizia, Dana; Portier, Franck - 2016

Book / Working Paper

Putting the Cycle Back into Business Cycle Analysis

Beaudry, Paul - 2016

Book / Working Paper

Putting the Cycle Back into Business Cycle Analysis

Beaudry, Paul - 2016

Book / Working Paper

A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012110263

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A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2016

Book / Working Paper

A Spectral EM Algorithm for Dynamic Factor Models

Fiorentini, Gabriele - 2016

Book / Working Paper

Dating the financial cycle : a wavelet proposition

Ardila, Diego; Sornette, Didier - 2016

We propose to date and analyze the financial cycle using the Maximum Overlap Discrete Wavelet Transform (MODWT). Our presentation points out limitations of the methods derived from the classical business cycle literature, while stressing their connection with wavelet analysis. The fundamental...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011516595

Analysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking control

Crowley, Patrick M.; Hudgins, David - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011524358

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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

Book / Working Paper

Forecasting the equity risk premium with frequency-decomposed predictors

Faria, Gonçalo; Verona, Fabio - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011587731

Volatility Transfers between Cycles : A Theory of Why the "Great Moderation" Was More Mirage than Moderation

Crowley, Patrick M. - 2016

In this paper we use a New Keynesian model to explain why volatility transfer from high frequency to low frequency cycles can and did occur during the period commonly referred to as the "great moderation". The model suggests that an increase in inflation aversion and/or a reduction to a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012993699

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Volatility Transfers between Cycles : A Theory of Why the 'Great Moderation' Was More Mirage than Moderation

Crowley, Patrick M. - 2014

Book / Working Paper

Fiscal policy tracking design in the time : frequency domain using wavelet analysis

Crowley, Patrick M.; Hudgins, David - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011476134

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Fiscal Policy Tracking Design in the Time Frequency Domain Using Wavelet Analysis

Crowley, Patrick M. - 2016

Book / Working Paper

Fiscal Policy Tracking Design in the Time Frequency Domain Using Wavelet Analysis

Crowley, Patrick M. - 2015

Book / Working Paper

A bias bound approach to non-parametric inference

Schennach, Susanne M. - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012387190

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A bias bound approach to nonparametric inference

Schennach, Susanne M. - 2015 - This version: November 15, 2015

Edition: This version: November 15, 2015

Book / Working Paper

New perspectives on Henry Ludwell Moore's use of harmonic analysis

Turner, Paul; Wood, Justine - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012437461

Wavelets im Rahmen der Econophysik : eine naturwissenschaftlich geprägte Analyse von Finanzmärkten

Hodek, Jakub - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011326905

Euro area monetary and fiscal policy tracking design in the timefrequency domain

Crowley, Patrick M.; Hudgins, David - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011327680

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011300803

A spectral representation of the Phillips Curve in Australia

Mallick, Debdulal - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011302067

Business and financial cycles : an estimation of cycles'; length focusing on macroprudential policy

Gonzalez, Rodrigo Barbone; Lima, Joaquim; Marinho, … - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011303557

A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010495553

Show 2 more versions 2

A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015

Book / Working Paper

A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2014

Book / Working Paper

Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns

Roberts, Leigh - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010242932

Effects of US policy uncertainty on Swedish GDP growth

Stockhammar, Pär; Österholm, Pär - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010416709

Volatility transfers between cycles : a theory of why the "Great Moderation" was more mirage than moderation

Crowley, Patrick M.; Hughes Hallett, Andrew - 2014

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010416871

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010488495