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 bridg...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; Hackensack, NJ :
World Scientific Publishing Co. Pte. Ltd.,
[2013]
|
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 |
| Zusammenfassung: | "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"--Provided by publisher. |
| Beschreibung: | 1 online resource (viii, 204 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814397841 9814397849 |
Internformat
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| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a 1. Methodology: introduction to wavelet analysis -- 2. Multiscale hedge ratio between the stock and futures markets: a new approach using wavelet analysis and high frequency data -- 3. Modeling the international links between the dollar, euro and yen interest rate swap markets through a multiscaling approach -- 4. Long memory in rates and volatilities of LIBOR: wavelet analysis -- 5. Cross-listing and transmission of pricing information of dually-listed stocks: a new approach using wavelet analysis -- 6. On the relationship between stock returns and risk factors: new evidence from wavelet analysis -- 7. Can the risk factors explain the cross-section of average stock returns in the long run? -- 8. Multiscale relationships between stock returns and inflations: international evidence -- 9. Mutual fund performance and investment horizon -- 10. A new assessment of US mutual fund returns through a multiscaling approach. | |
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| 588 | 0 | |a Print version record. | |
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| author | In, Francis Kim, Sangbae, 1965- |
| author_GND | http://id.loc.gov/authorities/names/n94022898 http://id.loc.gov/authorities/names/n2003097098 |
| author_facet | In, Francis Kim, Sangbae, 1965- |
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| contents | 1. Methodology: introduction to wavelet analysis -- 2. Multiscale hedge ratio between the stock and futures markets: a new approach using wavelet analysis and high frequency data -- 3. Modeling the international links between the dollar, euro and yen interest rate swap markets through a multiscaling approach -- 4. Long memory in rates and volatilities of LIBOR: wavelet analysis -- 5. Cross-listing and transmission of pricing information of dually-listed stocks: a new approach using wavelet analysis -- 6. On the relationship between stock returns and risk factors: new evidence from wavelet analysis -- 7. Can the risk factors explain the cross-section of average stock returns in the long run? -- 8. Multiscale relationships between stock returns and inflations: international evidence -- 9. Mutual fund performance and investment horizon -- 10. A new assessment of US mutual fund returns through a multiscaling approach. |
| ctrlnum | (OCoLC)819379991 |
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| dewey-search | 332.01/5152433 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Illustrated |
| indexdate | 2025-04-11T08:41:09Z |
| institution | BVB |
| isbn | 9789814397841 9814397849 |
| language | English |
| oclc_num | 819379991 |
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| publisher | World Scientific Publishing Co. Pte. Ltd., |
| record_format | marc |
| spelling | In, Francis, author. http://id.loc.gov/authorities/names/n94022898 An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / Francis In, Sangbae Kim. Singapore ; Hackensack, NJ : World Scientific Publishing Co. Pte. Ltd., [2013] ©2013 1 online resource (viii, 204 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. 1. Methodology: introduction to wavelet analysis -- 2. Multiscale hedge ratio between the stock and futures markets: a new approach using wavelet analysis and high frequency data -- 3. Modeling the international links between the dollar, euro and yen interest rate swap markets through a multiscaling approach -- 4. Long memory in rates and volatilities of LIBOR: wavelet analysis -- 5. Cross-listing and transmission of pricing information of dually-listed stocks: a new approach using wavelet analysis -- 6. On the relationship between stock returns and risk factors: new evidence from wavelet analysis -- 7. Can the risk factors explain the cross-section of average stock returns in the long run? -- 8. Multiscale relationships between stock returns and inflations: international evidence -- 9. Mutual fund performance and investment horizon -- 10. A new assessment of US mutual fund returns through a multiscaling 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 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"--Provided by publisher. Print version record. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Wavelets (Mathematics) http://id.loc.gov/authorities/subjects/sh91006163 Finances Modèles mathématiques. Ondelettes. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Wavelets (Mathematics) fast Wavelet-Analyse gnd http://d-nb.info/gnd/4760859-6 Mehrskalenanalyse gnd http://d-nb.info/gnd/4416235-2 Finanzmathematik gnd Finance. hilcc Business & Economics. hilcc Finance - General. hilcc Kim, Sangbae, 1965- author. https://id.oclc.org/worldcat/entity/E39PCjwgwjY36yRRBXJ4vj8bwK http://id.loc.gov/authorities/names/n2003097098 has work: An Introduction to Wavelet Theory in Finance (Text) https://id.oclc.org/worldcat/entity/E39PCFGdJtdPKFGyGckjmr3Rcd https://id.oclc.org/worldcat/ontology/hasWork Print version: In, Francis. Introduction to wavelet theory in finance. Singapore ; Hackensack, NJ : World Scientific, ©2013 9789814397834 (DLC) 2012030894 (OCoLC)779876028 |
| spellingShingle | In, Francis Kim, Sangbae, 1965- An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / 1. Methodology: introduction to wavelet analysis -- 2. Multiscale hedge ratio between the stock and futures markets: a new approach using wavelet analysis and high frequency data -- 3. Modeling the international links between the dollar, euro and yen interest rate swap markets through a multiscaling approach -- 4. Long memory in rates and volatilities of LIBOR: wavelet analysis -- 5. Cross-listing and transmission of pricing information of dually-listed stocks: a new approach using wavelet analysis -- 6. On the relationship between stock returns and risk factors: new evidence from wavelet analysis -- 7. Can the risk factors explain the cross-section of average stock returns in the long run? -- 8. Multiscale relationships between stock returns and inflations: international evidence -- 9. Mutual fund performance and investment horizon -- 10. A new assessment of US mutual fund returns through a multiscaling approach. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Wavelets (Mathematics) http://id.loc.gov/authorities/subjects/sh91006163 Finances Modèles mathématiques. Ondelettes. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Wavelets (Mathematics) fast Wavelet-Analyse gnd http://d-nb.info/gnd/4760859-6 Mehrskalenanalyse gnd http://d-nb.info/gnd/4416235-2 Finanzmathematik gnd Finance. hilcc Business & Economics. hilcc Finance - General. hilcc |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 http://id.loc.gov/authorities/subjects/sh91006163 http://d-nb.info/gnd/4760859-6 http://d-nb.info/gnd/4416235-2 |
| title | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / |
| title_auth | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / |
| title_exact_search | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / |
| title_full | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / Francis In, Sangbae Kim. |
| title_fullStr | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / Francis In, Sangbae Kim. |
| title_full_unstemmed | An Introduction to Wavelet Theory in Finance : a Wavelet Multiscale Approach / Francis In, Sangbae Kim. |
| title_short | An Introduction to Wavelet Theory in Finance : |
| title_sort | introduction to wavelet theory in finance a wavelet multiscale approach |
| title_sub | a Wavelet Multiscale Approach / |
| topic | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Wavelets (Mathematics) http://id.loc.gov/authorities/subjects/sh91006163 Finances Modèles mathématiques. Ondelettes. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Wavelets (Mathematics) fast Wavelet-Analyse gnd http://d-nb.info/gnd/4760859-6 Mehrskalenanalyse gnd http://d-nb.info/gnd/4416235-2 Finanzmathematik gnd Finance. hilcc Business & Economics. hilcc Finance - General. hilcc |
| topic_facet | Finance Mathematical models. Wavelets (Mathematics) Finances Modèles mathématiques. Ondelettes. BUSINESS & ECONOMICS Finance. Finance Mathematical models Wavelet-Analyse Mehrskalenanalyse Finanzmathematik Finance. Business & Economics. Finance - General. |
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