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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제17권 제3호
- 발행연도
- 2015.1
- 수록면
- 1,203 - 1,215 (13page)
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초록· 키워드
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Using the maximum overlap discrete wavelet transform (MODWT), this study investigates relationships between real stock returns and real industrial production growth for Korea, Japan, the US, and the UK, during the period from August, 1992 to December, 2013. This study found, through wavelet-based Granger causality analysis, that relationships between variables not found in the raw data could be estimated on a scale-by-scale basis. Second, by separating the long-term feedback relationships between variables from the original data, the series derived from the wavelet decomposition provides useful information for market participants who are interested in high-frequency movements of variables. Finally, when the wavelet filter is adapted sequentially, it is useful to know the net movement of high-frequency variables and the degree of common movement between variables reflecting the impact of low-frequency market shocks.
목차
등록된 정보가 없습니다.
참고문헌 (19)
참고문헌 신청
Binswanger, M. / 2000 / Stock market booms and real economic activity : Is this time different? / International Review of Economics and Finance 9 (4) : 387 ~ 415
Daubechies, J. / 1992 / Ten Lectures on Wavelets / SIAM
Fama, E. F. / 1981 / Stock returns, real activity, inflation, and money / American Economic Review 71 (4) : 545 ~ 565
Fama, E. F. / 1990 / Stock returns, expected returns, and real activity / Journal of Finance 45 (4) : 1089 ~ 1108
Gallegati, M. / 2008 / Wavelet analysis of stock returns and aggregate economic activity / Computational Statistics and Data Analysis 52 (6) : 3061 ~ 3074
Daubechies, J. / 1992 / Ten Lectures on Wavelets / SIAM
Fama, E. F. / 1981 / Stock returns, real activity, inflation, and money / American Economic Review 71 (4) : 545 ~ 565
Fama, E. F. / 1990 / Stock returns, expected returns, and real activity / Journal of Finance 45 (4) : 1089 ~ 1108
Gallegati, M. / 2008 / Wavelet analysis of stock returns and aggregate economic activity / Computational Statistics and Data Analysis 52 (6) : 3061 ~ 3074
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