Proceedings from "Workshop on Frequency Domain Research in Macroeconomics and Finance" | E-Axes
 

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Proceedings from "Workshop on Frequency Domain Research in Macroeconomics and Finance"

 

  • The Continuous Wavelet Transform: A Primer

           Luís Aguiar-Conrariaz and Maria Joana Soares
           University of Minho

           (Download paper here)

 

  • IDENTIFICATION AND RECONSTRUCTION OF OSCILLATORY MODES IN U.S. BUSINESS CYCLES USING MULTIVARIATE SINGULAR SPECTRUM ANALYSIS

          Andreas Grotha, Michael Ghila, Stephane Hallegatted, and Patrice Dumas
          Ecole Normale Superieure, University of California, Los Angeles, CIRED, Ecole Nationale de la Meteorologie

          (Download paper here)

 

  • Volatility Spillovers in Asian Bond Market: A Wavelet Analysis

           Lixia Loh
           EDHEC Business School​

           (Download paper here)

 

  • Wavelet analysis of loans in Germany

           Michael Scharnagly
           Deutsche Bundesbank

           (Download paper here)

 

  • Short and Long Term Growth Effects of Financial Crises in Developing Countries

           Fredrik N. G. Andersson and Peter Karpestam
           Lund University

           (Download paper here)

 

  • Has the Financial Crisis Changed the Business Cycle Characteristics of the PIIGS Countries?

           Andrew Hughes Hallett and Christian Richter
           George Mason University-University of East London

           (Download paper here)

 

  • Is There a Contagion? A Frequency-Domain Analysis of Stock Market Comovements During the Subprime Crisis

           Alexei G. Orlov
           Radford University

           (Download paper here)

 

  • Productivity and unemployment scale-by-scale relationship

           Marco Gallegati, Mauro Gallegati, James B. Ramsey and Willi Semmlerz
           Universita Politecnica delle Marche-New York University-University of Bielefeld

           (Download paper here)

 

  • Real Wages and the Business Cycle in Germany

           Martyna Marczaky, Thomas Beissinger
           University of Hohenheim 

           (Download paper here)

 

  • Unit Root Tests with Wavelets

           Yanqin Fan and Ramazan Gencay
           Vanderbilt University-Simon Fraser University 

           (Download paper here)

 

  • How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition

           Patrick M. Crowley
           Texas A&M University 

           (Download paper here)

 

  • A Persistence Based Decomposition of Macroeconomic and Financial Time Series

           Fulvio Ortu, Andrea Tamoni, and Claudio Tebaldi
           Bocconi University 

           (Download paper here)

 

  • Credit and business cycles: some stylised facts

           Feng Zhu
           Bank for International Settlements 

           (Download paper here)


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