Frequency Domain Methods in Economics

(Wavelet power spectrum for German real GDP - taken from Crowley and Mayes (2006)).

References (both economic and more general references)

Please let me have any references in frequency domain economics that you want posted here by emailing me at

Addison, P. (2002) The Illustrated Wavelet Transform Handbook. Bristol, UK: Institute of Physics. Outline
Atkins, F. and Sun, Z. (2003) Using wavelets to uncover the Fisher effect. Discussion Paper 2003-09. Department of Economics, University of Calgary, Canada. Full Text
Benati, L. (2009) Long Run Evidence on Money Growth and Inflation. Working Paper 1027. European Central Bank, Frankfurt, Germany. Full text 
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Bruce, A. and Gao, H.-Y. (1996a) Applied Wavelet Analysis with S-PLUS. New York:Springer-Verlag. Abstract
Bruce, A. and Gao, H.-Y. (1996b) Understanding waveshrink: variance and bias estimation. Biometrika 83(4): 727-745.Abstract
Bruce, A., Gao H.-Y. and Ragozin D. (1995) S+WAVELETS: algorithms and technical details. Seattle: StatSci Division of MathSoft Inc.  Abstract
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Chiann, C. and Morettin, P. (1998) A wavelet analysis for time series. Nonparametric Statistics 10: 1-46.Abstract
Coifman, R., Meyer, Y., Quake, S. and Wickerhauser, V. (1990) Signal processing and compression with wavelet packets. Working Paper, Yale University, New Haven, CT, USA.Abstract
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Constantine, W. and Percival, D. (2003) S+Wavelets 2.0. Seattle: Insightful Corporation.
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Crivellini, M., Gallegati, M., Gallegati, M. and Palestrini, A. (2004) Industrial output fluctuations in developed countries: A time-scale decomposition analysis. Working Papers and Studies: papers from the 4th Eurostat and DGFin Colloquium “Modern Tools for Business Cycle Analysis”, European Commission, Brussels, Belgium.Abstract | Full Text
Crowley, P. and Lee, J. (2005) Decomposing the co-movement of the business cycle: A time-frequency analysis of growth cycles in the eurozone. Bank of Finland Discussion Paper 12-05, Helsinki, Finland.  Abstract | Full Text
Crowley, P. and Mayes, D. (2008) How fused is the euro area core? An evaluation of growth cycle co-movement and synchronization using wavelet analysis.  Journal of Business Cycle Measurement and Analysis, Vol. 1, pp63-95.  Abstract
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Debauchies, I. (1992) Ten Lectures on Wavelets. Montpelier, VT: Capital City Press.  Full Text
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Gencay, R. and Fan, Y. (2006) Unit root and Cointegration tests with wavelets. Manuscript, Simon Fraser University, Canada. Abstract
Gencay, R., Selcuk, F. and Whitcher, B. (2001) An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. San Diego, CA: Academic Press.  Full Text
Gencay, R., Selcuk, F. and Whitcher, B. (2003) Asymmetry of information flow between volatilities across time scales. Unpublished manuscript, Simon Fraser University, Canada. Full Text
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Greenhall, C. (1991) Recipes for degrees of freedom of frequency stability estimators. IEEE Transactions on Instrumentation and Measurement 40: 994-999.Full Text
Huang, N., Shen, Z., Long, S., Wu, M., Shih, H., Zheng, Q., Yen, N.-C., Tung, C. and Liu, H. (1998) The empirical mode decomposition and the Hilbert spectrum for nonlinear and nonstationary time series methods. Proceedings of the Royal Society of London A 454: 903-995.Full Text
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Hughes Hallett, A. and Richter, C. (2004) Spectral analysis as a tool for financial policy: An analysis of the short-end of the British term structure. Computational Economics 23: 271-288.Abstract
Inclan, C. and Tiao, G. (1994) Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of the American Statistical Association 89: 913-923.
Jensen, M. (1999) Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter. Journal of Forecasting 18: 17-32.  Full Text
Jensen, M. (2000) An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets. Journal of Economic Dynamics and Control 24: 361-387.
Kim, S. and In, F. (2003) The relationship between financial variables and real economic activity: Evidence from spectral and wavelet analyses. Studies in Nonlinear Dynamics and Econometrics 7(4): article 4.  Abstract
Kingsbury, N. (1998) The dual-tree complex wavelet transform: A new efficient tool for image restoration and enhancement. In Proceedings EUSIPCO 98, Rhodes, Greece.  Full Text
Kingsbury, N. (2000) A dual-tree complex wavelet transform with improved orthogonality and symmetry properties. In Proceedings of the IEEE Conference on Image Processing, Vancouver, Canada.  Abstract
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Mallat, S. (1989) A theory for multiresolution signal decomposition: The wavelet representation. IEEE Transactions on Pattern Analysis and Machine Intelligence 11(7): 674-693.  Full Text
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Neumann, M. and Greiber, C. (2004) Inflation and core money growth in the euro area. Discussion Paper 36/2004, Deutsche Bundesbank, Frankfurt, Germany.  Full Text
Percival, D. and Mofjeld, H. (1997) Analysis of subtidal coastal sea level fluctuations using wavelets. Journal of the American Statistical Association 92: 868-80.  Full Text
Percival, D. and Walden, A. (2000) Wavelet Methods for Time Series Analysis. Cambridge, UK: Cambridge University Press.Contents
Ramsey, J. (2000) The contribution of wavelets to the analysis of economic and financial data. In B. Silverman and J. Vassilicos (eds.), Wavelets: The Key to Intermittent Information, Volume Wavelets: the key to intermittent information, pp. 221-236. New York: Oxford University Press.  Abstract
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Sussmuth, B. (2002, January) National and supranational business cycles (1960-2000): A multivariate description of central G7 and Euro15 NIPA aggregates. CESifo Working Paper 658(5) Ifo Institute for Economic Research, Munich.  Full Text
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Vuorenmaa, T. (2004) A multiresolution analysis of stock market volatility using wavelet methodology. Draft Bank of Finland discussion paper.  Full Text
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Whitcher, B., Guttorp, P. and Percival, D. (1999) Mathematical background for wavelet estimators of cross-covariance and cross-correlation. Technical Report 38, National Research Center for Statistics and the Environment, Boulder, Seattle, USA.Full Text
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Whitcher, B., Guttorp, P. and Percival, D. (2000b) Wavelet analysis of covariance with application to atmospheric time series. Journal of Geophysical Research 105(D11): 14,941-14,962.Abstract