Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/11707

TitleThe continuous wavelet transform : a primer
Author(s)Conraria, Luís Aguiar
Soares, M. J.
KeywordsEconomic cycles
Continuous wavelet transform
Cross-wavelet transform
Wavelet coherency
Wavelet phase-difference
The great moderation
Issue date2010
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
CitationCONRARIA, Luís Aguiar ; SOARES, M. J. - “The continuous wavelet transform : a primer” [Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 9 Fev. 2011]. Disponível em WWW: <URL: www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_23_2010.pdf>.
Abstract(s)Wavelet analysis is becoming more popular in the Economics discipline. Until recently, most works have made use of tools associated with the Discrete Wavelet Transform. However, after 2005, there has been a growing body of work in Economics and Finance that makes use of the Continuous Wavelet Transform tools. In this article, we give a self-contained summary on the most relevant theoretical results associated with the Continuous Wavelet Transform, the Cross-Wavelet Transform, the Wavelet Coherency and the Wavelet Phase-Difference. We describe how the transforms are usually implemented in practice and provide some examples. We also introduce the Economists to a new class of analytic wavelets, the Generalized Morse Wavelets, which have some desirable properties and provide an alternative to the Morlet Wavelet. Finally, we provide a user friendly toolbox which will allow any researcher to replicate our results and to use it in his/her own research.
TypeWorking paper
URIhttp://hdl.handle.net/1822/11707
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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