Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
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- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694420, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Post-Print halshs-00694420, HAL.
References listed on IDEAS
- Luís Francisco Aguiar & Maria Joana Soares, 2010.
"The Continuous Wavelet Transform: A Primer,"
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23/2010, NIPE - Universidade do Minho.
- Luís Francisco Aguiar & Maria Joana Soares, 2011. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 16/2011, NIPE - Universidade do Minho.
- Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
- Gallegati Marco & Gallegati Mauro, 2007. "Wavelet Variance Analysis of Output in G-7 Countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-25, September.
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Cited by:
- Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013.
"Nonlinear dynamics and recurrence plots for detecting financial crisis,"
The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Post-Print hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803450, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," PSE-Ecole d'économie de Paris (Postprint) hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Documents de travail du Centre d'Economie de la Sorbonne 13024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Post-Print halshs-00803450, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013.
"Turning point chronology for the Euro-Zone: A Distance Plot Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803457, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Post-Print halshs-00803457, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
- Micha³ Bernardelli, 2015. "The Economic Situation In Poland Through The Prism Of The Situation In The Enterprises On The Basis Of The Business Tendency Survey," GUT FME Conference Publications, in: Blazej Prusak (ed.),ENTERPRISES IN UNSTABLE ECONOMY, chapter 10, pages 109-136, Faculty of Management and Economics, Gdansk University of Technology.
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More about this item
Keywords
Nonlinearity analysis; surrogates; Delay Vector Variance (DVV) method; wavelets; business cycle; embedding parameters;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2012-05-02 (Business Economics)
- NEP-ECM-2012-05-02 (Econometrics)
- NEP-ETS-2012-05-02 (Econometric Time Series)
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