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

Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A. Faruk Selçuk is a faculty member in the department of economics at Bilkent University, Ankara, Turkey. His research interests are time series analysis, financial econometrics, risk management, emerging market economies, and the Turkish economy. His recent publications appeared in Studies in Nonlinear Dynamics and Econometrics, International Journal of Forecasting, and Physica A. He is a consultant for Reuters-Istanbul and Reuters-Moscow. Brandon Whitcher is currently a visiting scientist in the Geophysical Statistics Project at the National Center for Atmospheric Research. He was a research scientist at EURANDOM, a European research institute for the study of stochastic phenomena, after receiving his Ph.D. in statistics from the University of Washington. His research interests include wavelet methodology, time series analysis, computational statistics, and applications in the physical sciences, finance, and economics. His publications have appeared in Exploration Geophysics, Journal of Computational and Graphical Statistics, Journal of Geophysical Research, Journal of Statistical Computation and Simulation, and Physica A.

• PrefaceIntroductionLinear FiltersOptimum Linear EstimationDiscrete Wavelet TransformsWavelets and Stationary ProcessesWavelet DenoisingWavelets for Variance-Covariance EstimationArtificial Neural Networks

Pre-publication Reviews"The authors present, in a simple fashion, a new class of filters that greatly expands on those previously available, allowing greater flexibility and generating models with time-varying specifications. The book considers familiar techniques and shows how these can be viewed in new ways, illustrating them with empirical studies from finance. It is particularly recommended for any time series econometrician wanting to keep up to date." --CLIVE W.J. GRANGER, Professor of Economics, University of California, San Diego"There are many books on linear filters and wavelets, but there is only one book, Gencay, Selcuk, and Whitcher, that provides an introduction to the field for economists and financial analysts and the motivation to study the subject. This book contains many practical economic and financial examples that will stimulate academic and professional research for years to come. This book is a most welcome addition to the wavelet literature." --JAMES B. RAMSEY, Professor of Economics, New York University"The authors have provided a very comprehensive account of the filtering literature, including wavelets, a tool not widely used in economics and finance. The volume includes many numerical illustrations, and should be accessible to a wide range of researchers." --PETER M. ROBINSON, Tooke Professor of Economic Science and Statistics and Leverhulme Research Professor, London School of Economics, U.K."This timely volume will be of interest to anyone who wants to underst and the latest technology for analyzing economic and financial time series. The authors are to be commended for their clear and comprehensive presentation of a fascinating and powerful approach to time-series analysis." --Halbert White, University of California, San DiegoReviews"This book sells itself short by being called "An Introduction..." OK, so it does start at the ground floor, but this is one skyscraper of a book. Without any reservations we give it the thumbs up." —www.Wilmott.com"...the book is a stimulating introduction which [will] induce the reader to further development and application of the wavelets and the neural networks in the fields of econometrics and finance." --MATHEMATICAL REVIEWS