© 2014

Wavelet Applications in Economics and Finance

  • Marco Gallegati
  • Willi Semmler


  • Applies wavelet and spectral methods to nonlinear and dynamic processes in economics and finance

  • Covers a wide range of economic and financial applications

  • Includes applications of time-frequency decomposition methods

  • Treats discrete and continuous wavelet transform tools as well as spectral methods


Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 20)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Macroeconomics

    1. Front Matter
      Pages 21-21
    2. Marco Gallegati, Mauro Gallegati, James B. Ramsey, Willi Semmler
      Pages 23-46
    3. Peter Martey Addo, Monica Billio, Dominique Guégan
      Pages 73-100
  3. Volatility and Asset Prices

    1. Front Matter
      Pages 101-101
    2. Michaela M. Kiermeier
      Pages 131-142
    3. Luís Aguiar-Conraria, Teresa Maria Rodrigues, Maria Joana Soares
      Pages 143-156
    4. Jozef Baruník, Evžen Kočenda, Lukas Vacha
      Pages 157-183
  4. Forecasting and Spectral Analysis

    1. Front Matter
      Pages 185-185
    2. Fredrik N. G. Andersson, Peter Karpestam
      Pages 227-248

About this book


This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.​


Business cycle analysis Dynamic and nonlinear processes Financial econometrics Time-frequency analysis Wavelets

Editors and affiliations

  • Marco Gallegati
    • 1
  • Willi Semmler
    • 2
  1. 1.Faculty of Economics "G. Fuà"Polytechnic University of MarcheAnconaItaly
  2. 2.New School for Social ResearchThe New School UniversityNew YorkUSA

Bibliographic information

Industry Sectors
Finance, Business & Banking