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Technical text for those so inclined..... good reading and have a safe
Holiday....
Subject: #1 Book: Introduction to Wavelets for Finance and Economics
Book Announcement:
An Introduction to Wavelets and Other Filtering Methods in
Finance and Economics
by Ramazan Gencay, Faruk Selcuk, and Brandon Whitcher
Academic Press (San Diego), September 2001.
ISBN: 0-12-279670-5, 359 pages, case bound, $79.95.
URL: http://www.cgd.ucar.edu/~whitcher/book/
http://www.apnet.com/catalog/0122796705/
An Introduction to Wavelets and Other Filtering Methods in Finance and
Economics presents a unified view of filtering techniques with a
special focus on wavelet analysis in finance and economics. It
emphasizes the methods and explanations of the theory that underlies
them. It also concentrates on exactly what wavelet analysis (and
filtering methods in general) can reveal about a time series. It
offers testing issues which can be performed with wavelets in
conjunction with the multiresolution analysis. The descriptive focus
of the book avoids proofs and provides easy access to a wide spectrum
of parametric and nonparametric filtering methods. Examples and
empirical applications will show readers the capabilities, advantages,
and disadvantages of each method.
Contents:
Preface
Introduction
Linear Filters
Optimum Linear Estimation
Discrete Wavelet Transforms
Wavelets and Stationary Processes
Wavelet Denoising
Wavelets for Variance-Covariance Estimation
Artificial Neural Networks
Brandon Whitcher
Geophysical Statistics Project
National Center for Atmospheric Research
whitcher@xxxxxxxx
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