Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Hardcover by Gencay, Ramazan; Selcuk, Faruk; Whitcher, Brandon, ISBN 0122796705, ISBN-13 9780122796708, Like New Used, Free shipping in the US

Explains wavelet filtering techniques for analyzing the dynamics of economic and financial time series. The authors describe the Kalman filter, the Wiener filter, the discrete wavelet transform and neural network filters, and apply the methods to filtering the relationship between money growth and inflation, testing for a change in volatility, and estimating scaling laws in foreign exchange markets. Intended for economists and financial analysts, th requires a background in time series analysis, calculus, and the Fourier transform. Annotation c. Book News, Inc., Portland, OR ()