We propose a form of semi-nonparametric regression based on wavelet analysis. Traditional time series methods usually involve either the time or the frequency domain, but wavelets can combine the information from both of these. While wavelet transforms are typically restricted to equally spaced observations an integer power of 2 in number, we show how to go beyond these constraints. We use our methods to construct "patios " for 21 important international commodity price series. These graph the magnitude of the variations in the series at different time scales for various subperiods of the full sample.
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505
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An Introduction to Wavelets
– Chui
- 1992
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322
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The wavelet transform, timefrequency localization and signal analysis
– Daubechies
- 1990
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214
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Adapted Wavelet Analysis from Theory to Software
– Wickerhauser
- 1994
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195
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Wavelets and Operators
– Meyer
- 1992
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173
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The variation of certain speculative prices
– Mandelbrot
- 1963
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76
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Wavelets, A Tutorial in Theory and Applications
– Chui
- 1992
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62
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Wavelet shrinkage using cross-validation
– Nason
- 1996
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19
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On the Behaviour of Commodity Prices
– DEATON, LAROQUE
- 1992
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12
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Smoothing Noisy Data with Tapered Coiflets Series
– Antoniadis
- 1996
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11
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Equilibrium Models Displaying Endogenous Fluctuations And Chaos
– Boldrin, Woodford
- 1990
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11
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On the choice of smoothing parameter, threshold and truncation in nonparametric regression by nonlinear wavelet methods
– Hall, Patil
- 1996
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11
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Wavelets and Time-Dependent Spectral Analysis
– Priestley
- 1996
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10
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Decomposition of functions into wavelets of constant shape, and related transforms
– GROSSMANN, MORLET
- 1985
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6
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Measuring the Strangeness of Gold and Silver Rates of Return
– Frank, Stengos
- 1989
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5
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Wavelets and their Applications
– Beylkin, Coifman, et al.
- 1992
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5
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Commodity Price Fluctuations: Price Dependent Delays and Nonlinearities as Explanatory Factors
– Mackey
- 1989
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4
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Nonlinearity and Complex Dynamics in Economics and Finance
– Brock
- 1988
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4
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Estimating a Non-Linear Rational Expectations Commodity Price Model with Unobservable State Variables
– DEATON, LAROQUE
- 1995
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3
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Evidence of Chaos in Commodity Futures Prices
– DeCoster, Labys, et al.
- 1992
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3
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Economic Dynamics
– Gandolfo
- 1985
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2
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On Nonlinear Dynamics: the Case of the Pork Cycle
– Chavas, Holt
- 1991
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2
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Tchamitchian (eds
– Combes, Grossman, et al.
- 1991
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2
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Chaotic Price Behavior in the Non-Linear Cobweb Model
– Jensen, Urban
- 1984
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2
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Random Walks and Price Trends: The Live Cattle Futures Market
– LEUTHOLD
- 1972
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2
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Cycles in Natural Resource Commodity Prices: an Analysis of the Frequency Domain
– Slade
- 1981
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1
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The Cobweb Theorem: a Reconsideration," Quarterly
– Ackerman
- 1957
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1
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Economic Dynamics
– Baumol
- 1962
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1
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Some Illustrations of Chaos in Commodity Models
– Burton
- 1993
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1
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A Spectral Analysis of Coffee Price Oscillations
– Gelb
- 1979
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1
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Systematic and Random Elements in ShortTerm Price Movements
– Houthakker
- 1961
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1
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Rational Expectations and the U.S. Hog Cycle
– Jameson
- 1983
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1
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Copper Price Behavior and the London Metal Exchange
– Labys, Elliot, et al.
- 1971
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1
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A Study of Coffee Prices -- a Spectral Approach
– Parikh
- 1973
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1
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The Existence of Broiler Cycles: an Application of Spectral Analysis
– Rausser, Cargill
- 1970
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1
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A Random Theory of Futures Prices
– Samuelson
- 1965
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1
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Martingale-like Behavior of Prices and Interest Rates," Discussion Paper no
– Sims
- 1984
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1
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A Test of the Serial
– Smidt
- 1965
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1
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Commodity Futures: Trends or Random Walk," as reprinted
– Stevenson, Bear
- 1970
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1
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Multi-Frequency Cobweb Model: Decomposition of the Hog Cycle
– Talpaz
- 1974
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1
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A Spectral Analysis of World Cocoa Prices
– Weiss
- 1970
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1
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A Theory of Anticipatory Prices
– Working
- 1958
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