Analysis of the evolution of sovereign bond yields by wavelet techniques

  1. Chinarro Vadillo, David
  2. Martínez Budría, Eduardo
  3. Sosvilla Rivero, Simón
Revue:
Cuadernos de economía: Spanish Journal of Economics and Finance

ISSN: 2340-6704 0210-0266

Année de publication: 2015

Volumen: 38

Número: 108

Pages: 152-162

Type: Article

DOI: 10.1016/J.CESJEF.2015.07.001 DIALNET GOOGLE SCHOLAR lock_openBiblos-e Archivo editor

D'autres publications dans: Cuadernos de economía: Spanish Journal of Economics and Finance

Références bibliographiques

  • Amat S., Muoz J. Some wavelets tools for Maxwell's equations. Carthagonova Journal of Mathematics 2008, 1:1-18.
  • Cariani P. Stylized facts of business cycles in a transition economy in time and frequency. Economic Modeling 2012, 29:2163-2173.
  • Cazelles B., Chavez M., Magny G.C.D., Gugan J.-F., Hales S. Time-dependent spectral analysis of epidemiological time-series with wavelets. Journal of the Royal Society Interface 2007, 4:625-636.
  • Chinarro D., Villarroel J., Cuch J. Wavelet analysis of Fuenmayor karst spring, San Julin de Banzo, Huesca, Spain. Environmental Earth Sciences 2012, 65:2231-2243.
  • Croux C., Forni M., Reichlin L. A measure of comovement for economic variables: theory and empirics. Review of Economics and Statistics 2001, 83:232-241.
  • Daubechies I. The wavelet transform time-frequency localization and signal analysis. IEEE Transactions on Information Theory 1990, 36:961-1004.
  • Ebadi L., Shafri H.Z.M., Mansor S.B., Ashurov R. A review of applying second-generation wavelets for noise removal from remote sensing data. Environmental Earth Sciences 2013, 1-12.
  • Fidrmuc J., Ikeda T., Iwatsubo K. International transmission of business cycles: evidence from dynamic correlations. Economics Letters 2012, 114:252-255.
  • Gabor D. Theory of communication. Journal of IEE 1946, 93:429-457.
  • Genay R., Seluk F., Whitcher B. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2001, Academic Press, Elsevier.
  • Grinsted A., Moore1 J.C., Jevrejeva S. Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics 2004, 11:561-566. http://www.glaciology.net/Home/PDFs.
  • Hernndez L., Baladrn C., Aguiar J.M., Carro B., Snchez-Esguevillas A., Lloret J., Chinarro D., Gmez J.J., Cook D. A multi-agent-system architecture for smart grid management and forecasting of energy demand in virtual power plants. Communications Magazine, IEEE 2013, 51:106-113.
  • Kohut J., Beeching A., Kohut J., Schmidt E., Sommer F. Sovereign Bonds: Spotlight on ESG Risks. Tech. Rep. 2013, Collaborators, UNEP Finance Initiative and United Nation Global Compact.
  • Korner T.W. Fourier Analysis 1988, Cambridge University Press, Cambridge.
  • Kydland F.E., Prescott E.C. Time to build and aggregate fluctuations. Econometrica 1982, 50:1345-1370.
  • Labat D., Ababou R., Mangin A. Analyse en ondelettes en hydrologie karstique. Geoscience 1999, 329:881-887.
  • Long J.B., Plosser C.I. Real Business Cycles. Jopurnal of Political Economy 91-1 1983, 39-69.
  • Mallat S. A theory for multiresolution signal decomposition: the wavelet transform. IEEE Transactions on Pattern Analysis and Machine Intelligence 1989, 11:674-693.
  • Mallat S. A Wavelet Tour of Signal Processing 1998, Academic Press, Cole Polytechnique, Courant Institute, New York University, Paris. second ed.
  • Meyers S.D., Kelly B.G., O'Brien J.J. An introduction to wavelet analysis in oceanography and meteorology: with application to the dispersion of Yanai waves. Monthly Weather Review 1992, 121:13-31. 101-105.
  • Raihan S.M., Wen Y., Zeng B. Joint Time-Frequency Distributions for Business Cycle Analysis. Wavelet Analysis and Its Applications 2001, Springer, Berlin/Heidelberg.
  • Ricker D.W. Echo Signal Processing 2003, The Springer International Series in Engineering and Computer Science. Kindle ed.
  • Rivera D., Lillo M., Arum J. ENSO influence on precipitation of Chillan, Chile: an approach using wavelets. Gestión Ambiental 2007, 13:33-48.
  • Sangbae Kima F.I. On the relationship between changes in stock prices and bond yields in the G7 countries: wavelet analysis. Journal of International Financial Markets, Institutions & Money 2007, 17:167-179.
  • Shannon C. A mathematical theory of communication. Bell System Technical Journal 1948, 27:379-423. 623-656.