An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

CONTENTS: Preface. Notations. 1. Introduction 1.1 Fourier versus Wavelet Analysis 1.2 Seasonality Filtering 1.3 Denoising 1.4 Identification of Structural Breaks 1.5 Scaling 1.6 Aggregate Heterogeneity and Time Scales 1.7 Multisca le Cross-Correlation 1.8 Outline 2. Linear Fil ters 2.1 Introduction 2.2 Filters in Time Doma in 2.3 Filters in the Frequency Domain 2.3 Fil ters in Practice 3. Optimum Linear Estimation
3.1 Introduction 3.2 The Wiener Filter and Estimation 3.3 Recursive Filtering and the Kalman Filter 3.4 P rediction with the Kalman Filter 3.5 Vector Kalman Filter E stimation 3.6 Applications 4. Discrete Wavelet Transforms 4.1 Introduction 4.2 Properties of the Wavelet Transform 4.3 Discrete Wavelet Filters 4.4 The Discrete Wavelet Transform 4.5 The Maximal Ov