Frequency Domain Methods in Economics

IQ2KHQ01
(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 patrick.crowley@tamucc.edu.

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 
Bruce, A. and Gao, H.-Y. (1995) Waveshrink: shrinkage functions and thresholds. In A. Laine and M. Unser (ed.), Wavelet Applications in Signal and Image Processing III, Volume 2569, SPIE, pp270-283.Abstract | Full Text
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
Camba Mendez, G. and Kapetanios, G. (2001) Spectral based methods to identify common trends and common cycles. Working Paper 62, European Central Bank, Frankfurt, Germany.Abstract | Full Text
Capobianco, E. (2004) Multiscale analysis of stock index return volatility. Computational Economics 23(3): 219-237.Abstract
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
Coifman, R. and Wickerhauser, V. (1992) Entropy-based algorithms for best basis selection. IEEE Transactions on Information Theory 38(2): 713-718. Abstract
Collard, F. (1999) Spectral and persistence properties of cyclical growth. Journal of Economic Dynamics and Control 23: 463-488. Abstract
Connor, J. and Rossiter, R. (2005) Wavelet transforms and commodity prices. Studies in Nonlinear Dynamics and Econometrics 9(1): 1-20.Abstract
Constantine, W. and Percival, D. (2003) S+Wavelets 2.0. Seattle: Insightful Corporation.
Craigmile, P. and Whitcher, B. (2004) Multivariate spectral analysis using Hilbert wavelet pairs. International Journal of Wavelets, Multiresolution and Information Processing 2(4): 567-587.Abstract
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
Dalkir, M. (2004) A new approach to causality in the frequency domain. Economics Bulletin 3(4): 1-14. Abstract | Full Text
Debauchies, I. (1992) Ten Lectures on Wavelets. Montpelier, VT: Capital City Press.  Full Text
Donoho, D. and Johnstone, I. (1995) Adapting to unknown smoothness by wavelet shrinkage. Journal of the American Statistical Association 90: 1200-1224.Abstract
Fernandez, V. (2004) Time-scale decomposition of price transmission in international markets. Working Paper 189, Center for Applied Economics, University of Chile, Santiago, Chile.  Abstract | Full Text
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
Gencay, R. Selcuk. F. and Whitcher, B. (2005) Multiscale systematic risk. Journal of International Money and Finance 24(1): 55-70. Full Text
Granger, C. and Joyeux, R. (1980) An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis 1: 15-29. Abstract
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
Huerta, G. (2005) Multivariate Bayes wavelet shrinkage and applications. Journal of Applied Statistics 32(5): 529-542.Full Text
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
Lau, K.-M. and Weng, H.-Y. (1995) Climate signal detection using wavelet transform: How to make a time series sing. Bulletin of the American Meteorological Society 76: 2391-2402. Full Text
Lee, H. (2004) International transmission of stock market movements: A wavelet analysis. Applied Economics Letters 11: 197-201.Abstract
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
Mallat, S. and Zhang, Z. (1993) Matching pursuits with time frequency dictionaries. IEEE Transactions on Signal Processing 41(12).Full Text
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
Ramsey, J. (2002) Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics and Econometrics 6(3): 1-2.Full Text
Ramsey, J. and Lampart, C. (1998a) The decomposition of economic relationships by time scale using wavelets: Expenditure and income. Studies in Nonlinear Dynamics and Econometrics 3(1): 23-41.Abstract
Ramsey, J. and Lampart, C. (1998b) Decomposition of economic relationships by timescale using wavelets. Macroeconomic Dynamics 2: 49-71.Abstract
Ramsey, J. and Zhang, Z. (1995) The analysis of foreign exchange data using waveform dictionaries. Working Paper 95-03, C.V. Starr Center for Applied Economics, Department of Economics, New York University, USA.  Full Text
Renaud, O., Starck, J.-L. and Murtagh, F. (2003) Prediction based on multiscale decomposition. International Journal of Wavelets, Multiresolution and Information Processing 1(2): 217-232.Full Text
Rua, A. (2010) Measuring Comovement in the time-frequency space. Journal of Macroeconomics, Vol 32, pp685-691. Abstract
Rua, A. and Nunes, L. (2005) Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach, International Journal of Forecasting, Vol 21, pp503-523. Abstract
Rua, A. and Nunes, L. (2009) International Comovement of Stock Market Returns: A Wavelet Analysis, Journal of Empirical Finance, Vol 16, pp632-639. Full Text
Schleicher, C. (2002) An introduction to wavelets for economists. Working Paper 2002-3, Bank of Canada, Ottawa, Canada.Full Text
Selesnick, I. (2002) The design of approximate Hilbert transform pairs of wavelet bases. IEEE Transactions on Signal Processing 50(5): 1144-1152.  Abstract
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
Tkacz, G. (2000) Estimating the fractional order of integration of interest rates using wavelet OLS estimator. Working Paper 2000-5, Bank of Canada, Ottawa, Canada.  Full Text
Torrence, C. and Compo, G. (1998) A practical guide to wavelet analysis. Bulletin of the American Meteorological Society 79(1): 61-78.  Full Text
Valle e Azevedo, J. (2002) Business cycles: Cyclical comovement within the European Union in the period 1960-1999. a frequency domain approach. WP 5-02, Banco do Portugal, Lisbon, Portugal.  Full Text
Vuorenmaa, T. (2004) A multiresolution analysis of stock market volatility using wavelet methodology. Draft Bank of Finland discussion paper.  Full Text
Walker, J. (1999) A Primer on Wavelets and their Scientific Applications. Boca Raton, FL: CRC Press.  Full Text
Walnut, D. (2002) An Introduction to Wavelet Analysis. Boston, MA: Birkhauser Boston. Full Text
Whitcher, B., Byers S., Guttorp, P. and Percival, D. (1998) Testing for homogeneity of variance in time series: Long memory, wavelets and the Nile River. Technical Report 9, National Research Center for Statistics and the Environment, Boulder, Seattle, USA.Abstract
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
Whitcher, B., Guttorp, P. and Percival, D. (2000a) Multiscale detection and location of multiple variance changes in the presence of long memory. Journal of Statistical Computation and Simulation 68: 65-88.  Full Text
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