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120926s2013 si a sb 001 0 eng d |
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|a 9789814397841 (electronic bk.)
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|z 9814397830
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|a WSPC
|b eng
|c WSPC
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|a 332.015152433
|2 22
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|a In, Francis.
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| 245 |
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|a An introduction to wavelet theory in finance
|b a wavelet multiscale approach /
|c Francis In, Sangbae Kim.
|h [electronic resource] :
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| 260 |
# |
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|a Singapore ;
|a Hackensack, N.J. :
|b World Scientific Pub. Co.,
|c c2013.
|
| 300 |
# |
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|a viii, 204 p. :
|b ill.
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| 504 |
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|a Includes bibliographical references (p. 191-202) and index.
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| 505 |
0 |
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|a 1. Methodology: introduction to wavelet analysis. 1.1. Introduction. 1.2. Fourier analysis and spectral analysis. 1.3. Wavelet analysis. 1.4. Wavelet variance, covariance and correlation. 1.5. Long memory estimation using wavelet analysis -- 2. Multiscale hedge ratio between the stock and futures markets: a new approach using wavelet analysis and high frequency data. 2.1. Introduction. 2.2. Minimum variance hedge. 2.3. Empirical results. 2.4. Concluding remarks -- 3. Modeling the international links between the dollar, euro and yen interest rate swap markets through a multiscaling approach. 3.1. Introduction. 3.2. Data and descriptive statistics. 3.3. Empirical results. 3.4. Concluding remarks -- 4. Long memory in rates and volatilities of LIBOR: wavelet analysis. 4.1. Introduction. 4.2. Data and empirical results. 4.3. Summary and concluding remarks -- 5. Cross-listing and transmission of pricing information of dually-listed stocks: a new approach using wavelet analysis. 5.1. Introduction. 5.2. Data description and basic statistics. 5.3. Empirical results. 5.4. Concluding remarks -- 6. On the relationship between stock returns and risk factors: new evidence from wavelet analysis. 6.1. Introduction. 6.2. Data and basic statistics. 6.3. Empirical results. 6.4. Concluding remarks -- 7. Can the risk factors explain the cross-section of average stock returns in the long run? 7.1. Introduction. 7.2. Data and basic statistics. 7.3. Empirical results. 7.4. Conclusion -- 8. Multiscale relationships between stock returns and inflations: international evidence. 8.1. Introduction. 8.2. Research methodologies. 8.3. Data and empirical results. 8.4. Summary and concluding remarks -- 9. Mutual fund performance and investment horizon. 9.1. Introduction. 9.2. Sharpe ratio at different investment horizons. 9.3. Data and empirical results. 9.4. Concluding remarks -- 10. A new assessment of US mutual fund returns through a multiscaling approach. 10.1. Introduction. 10.2. Empirical method. 10.3. Data and empirical results. 10.4. Summary and concluding remarks.
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| 520 |
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|a This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation - in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines - applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by MATLAB wavelet code.
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| 533 |
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|a Electronic reproduction.
|b Singapore :
|c World Scientific Publishing Co.,
|d 2013.
|n System requirements: Adobe Acrobat Reader.
|n Mode of access: World Wide Web.
|n Available to subscribing institutions.
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| 650 |
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0 |
|a Finance
|x Mathematical models.
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| 650 |
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|a Wavelets (Mathematics)
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| 655 |
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|a Electronic books.
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| 700 |
1 |
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|a Kim, Sangbae,
|d 1965-
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| 710 |
2 |
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|a World Scientific (Firm)
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| 776 |
1 |
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|z 9814397830
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| 776 |
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|z 9789814397834
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| 856 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/8431#t=toc
|