06.Sept | 07.Sept

Applications of the Continuous Wavelet Transform to Economic Data


1. From spectral analysis to wavelet analysis

2. The Continuous Wavelet Transform

    a. Wavelet power spectrum
    b. Wavelet filter as a band-pass filter

3. Wavelet bivariate tools

    a. Wavelet cross-spectrum
    b. Wavelet coherency
    c. Wavelet phase difference

4. Wavelet multivariate tools

    a. Wavelet partial and multiple coherency
    b. Wavelet partial phase-difference

5. The wavelet gain: Regressions in the time-frequency domain


Students must have installed in their computer the latest version of the ASToolbox, a Matlab wavelet toolbox developed by Luís Aguiar-Conraria and Joana Soares, which can be downloaded at:

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Instructor

INSTRUCTOR

LUÍS AGUIAR-CONRARIA

Associate Professor | Economics Department
School of Economics and Management
Minho University

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References

Aguiar-Conraria, L. and Soares, M. J. (2014), The Continuous Wavelet Transform: Moving Beyond Uni- and Bivariate Analisys. Journal of Economic Surveys, 28: 344–375. doi:10.1111/joes.12012

Aguiar-Conraria, L., Magalhães, P. C. and Soares, M. J. (2012), Cycles in Politics: Wavelet Analysis of Political Time Series. American Journal of Political Science, 56: 500–518. doi: 10.1111/j.1540-5907.2011.00566.x

Aguiar-Conraria, L. and Soares, M. J. (2015), Lecture Notes on the Continuous Wavelet Transform.