An introduction to wavelet theory in finance a wavelet multiscale approach /
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...
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| Format: | Electronic |
| Language: | English |
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Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
c2013.
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/8431#t=toc |
Table of Contents:
- 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.