Interest rate spreads and output: a time scale decomposition analysis using wavelets

DOI10.1016/J.CSDA.2014.02.024zbMath1506.62066OpenAlexW2112884059MaRDI QIDQ1623529

James B. Ramsey, Marco Gallegati, Willi Semmler

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.02.024

zbMATH Keywords

waveletstime scalesoutput growthinterest rate spreads

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Causal relationships between inflation and inflation uncertainty ⋮ DSGE model with financial frictions over subsets of business cycle frequencies

Uses Software

• wmtsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The yield curve and the macro-economy across time and frequencies
• Investigating time-variation in the marginal predictive power of the yield spread
• Wavelet based time-varying vector autoregressive modelling
• Wavelet analysis of stock returns and aggregate economic activity
• A wavelet-based approach to test for financial market contagion
• Wavelet-based detection of outliers in financial time series
• A wavelet approach for factor-augmented forecasting
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• Ten Lectures on Wavelets
• Estimating and Testing Linear Models with Multiple Structural Changes
• Systematic risk and timescales

This page was built for publication: Interest rate spreads and output: a time scale decomposition analysis using wavelets