The Haar Wavelet Transfer Function Model and Its Applications
Journal Title: Dynamic Econometric Models - Year 2011, Vol 11, Issue 1
Abstract
In the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of the relationships under scrutiny. Besides, the models enable to verify hypotheses concerning changes of the regression parameters across dyadic scales (octave frequency bands). In the paper some theoretical properties of the models are investigated and an empirical illustration is provided. In the empirical study returns on WIG are modelled with the help of returns on S&P 500. Interestingly, besides the insight into the frequency content of the relationship, the empirical wavelet transfer function models also provided good forecasts.
Authors and Affiliations
Joanna Bruzda
Keywords
Related Articles
- EP ID EP119420
- DOI -
- Views 104
- Downloads 0
The Model of French Development Assistance – Who Gets the Help?
Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to ana...
Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries
In this paper the threshold (T-ECM) and linear (ECM) error correction models are estimated to examine the short-run and long-run Granger causality in terms of asymmetric and symmetric relationship for seven European Unio...
The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothes...
Identification of the Structures of Spatial and Spatio-Temporal Processes and a Problem of Data Aggregation
The paper concerns the measurement of the dependence between economic spatial and also spatio-temporal processes at various levels of data aggregation. The considerations refer to the investigations confirming efficiency...
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are...