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 Submitted by   Information 
Brandon Whitcher
bjw34032@mh.uk.sbphrd.com
Title An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
Author(s) Ramazan Gencay, Faruk Selcuk, Brandon Whitcher
Publication date Sep 21 2001
Publisher Academic Press
ISBN 0-12-279670-5
Number of pages 384
Summary An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multiresolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.
Link http://www.cgd.ucar.edu/~whitcher/book/
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