Recovering cointegration via wavelets in the presence of non-linear patterns

DOI10.1515/snde-2018-0120OpenAlexW3207902490MaRDI QIDQ2700571

Ramazan Gençay, Daniel Ramos Vilardell, Ignacio Rodríguez Carreño, Tommaso Trani, Jorge Martínez Compains

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0120

zbMATH Keywords

cointegrationwavelet decompositionseasonal adjustmentnear cointegration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• Matlab
• wmtsa

Cites Work

• Modelling structural breaks, long memory and stock market volatility: an overview
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• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
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• Enhancing the predictability of crude oil markets with hybrid wavelet approaches
• Wavelets in Economics and Finance: Past and Future
• A theory for multiresolution signal decomposition: the wavelet representation
• Modelling and forecasting by wavelets, and the application to exchange rates
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• UNIT ROOT TESTS WITH WAVELETS
• Jump detection with wavelets for high-frequency financial time series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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