메뉴 건너뛰기




Volumn 11, Issue 3, 2007, Pages

Wavelet variance analysis of output in G-7 countries

Author keywords

Time scale decomposition; Wavelet variance analysis

Indexed keywords


EID: 34948896886     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1435     Document Type: Article
Times cited : (57)

References (38)
  • 1
    • 4444345848 scopus 로고    scopus 로고
    • Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?
    • Ahmed, S., Levin, A., and B.A. Wilson (2002): "Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?", The Review of Economics and Statistics, 86, 824-832.
    • (2002) The Review of Economics and Statistics , vol.86 , pp. 824-832
    • Ahmed, S.1    Levin, A.2    Wilson, B.A.3
  • 3
    • 0035628153 scopus 로고    scopus 로고
    • The Long and Large Decline in US Output Volatility
    • Blanchard, O. and J. Simon (2001): "The Long and Large Decline in US Output Volatility", Brookings Papers on Economic Activity, 2001-1, 135-174.
    • (2001) Brookings Papers on Economic Activity , vol.2001 -1 , pp. 135-174
    • Blanchard, O.1    Simon, J.2
  • 4
    • 0037784725 scopus 로고    scopus 로고
    • Recent Changes in the US Business Cycle
    • Chauvet, M. and S. Potter (2001): "Recent Changes in the US Business Cycle", The Manchester School, 69, 481-508.
    • (2001) The Manchester School , vol.69 , pp. 481-508
    • Chauvet, M.1    Potter, S.2
  • 5
    • 0009401749 scopus 로고    scopus 로고
    • Evolving Post-Wold War II U.S. Inflation Dynamics
    • Cogley, T. and T.J. Sargent (2001): "Evolving Post-Wold War II U.S. Inflation Dynamics", NBER Macroeconomics Annual, 331-372.
    • (2001) NBER Macroeconomics Annual , pp. 331-372
    • Cogley, T.1    Sargent, T.J.2
  • 6
    • 0002001578 scopus 로고
    • Time-invariant Wavelet De-noising
    • Antoniadis A. and G. Oppenheim, ed, New York: Springer-Verlag
    • Coifman, R.R. and D. Donoho (1995): "Time-invariant Wavelet De-noising", in Antoniadis A. and G. Oppenheim, ed., Wavelets and Statistics, New York: Springer-Verlag, 125-150.
    • (1995) Wavelets and Statistics , pp. 125-150
    • Coifman, R.R.1    Donoho, D.2
  • 8
    • 0013084888 scopus 로고    scopus 로고
    • Changes in the Variability of the Business Cycle in the G-7 countries
    • University of Manchester
    • van Dijk, D., Osborn, D.R. and M. Sensier (2002): "Changes in the Variability of the Business Cycle in the G-7 countries", CGBCR Discussion Paper Series, No. 16, University of Manchester.
    • (2002) CGBCR Discussion Paper Series , vol.16
    • van Dijk, D.1    Osborn, D.R.2    Sensier, M.3
  • 9
    • 19844372265 scopus 로고    scopus 로고
    • An investigation of Co-movements among the Growth Rates of the G-7 Countries
    • October
    • Doyle, B. and J. Faust (2002): "An investigation of Co-movements among the Growth Rates of the G-7 Countries", Federal Reserve Bullettin, October 2002, 427-37.
    • (2002) Federal Reserve Bullettin , vol.2002 , pp. 427-437
    • Doyle, B.1    Faust, J.2
  • 10
    • 33644902377 scopus 로고    scopus 로고
    • Germany's Declining Output Volatility: Impulses, Propagation, and the Role of Monetary Policy
    • Fritsche, U. and V. Kouzine (2005): "Germany's Declining Output Volatility: Impulses, Propagation, and the Role of Monetary Policy", Applied Economics, 37, 2445-2457.
    • (2005) Applied Economics , vol.37 , pp. 2445-2457
    • Fritsche, U.1    Kouzine, V.2
  • 11
    • 0035149344 scopus 로고    scopus 로고
    • Scaling Properties of Foreign Exchange Volatility
    • Gençay, R., Selçuk, F. and B. Whit cher (2001): "Scaling Properties of Foreign Exchange Volatility", Physica A, 289, 249-266.
    • (2001) Physica A , vol.289 , pp. 249-266
    • Gençay, R.1    Selçuk, F.2    Whit cher, B.3
  • 14
    • 85017128111 scopus 로고
    • Oil and the Macroeconomy since World War II
    • Hamilton, J.D. (1983): "Oil and the Macroeconomy since World War II", Journal of Political Economy, 91, 228-248.
    • (1983) Journal of Political Economy , vol.91 , pp. 228-248
    • Hamilton, J.D.1
  • 16
    • 2442569001 scopus 로고    scopus 로고
    • Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy
    • Hamilton, J.D. and A.M. Herrera (2004): "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy", Journal of Money Credit and Banking, 36, 265-286.
    • (2004) Journal of Money Credit and Banking , vol.36 , pp. 265-286
    • Hamilton, J.D.1    Herrera, A.M.2
  • 17
    • 27544486270 scopus 로고    scopus 로고
    • The Decline in US Output Volatility: Structural Changes and Inventory Investments
    • Herrera, A.M. and E. Pesavento (2005): "The Decline in US Output Volatility: Structural Changes and Inventory Investments", Journal of Business and Economic Statistics, 23, 462-472.
    • (2005) Journal of Business and Economic Statistics , vol.23 , pp. 462-472
    • Herrera, A.M.1    Pesavento, E.2
  • 20
    • 33748002563 scopus 로고    scopus 로고
    • The Discrete Wavelet Transform and the Scale Analysis of the Surface Properties of Sea Ice
    • Lindsay, R., Percival, D.B. and D.A. Rothrock (1996): "The Discrete Wavelet Transform and the Scale Analysis of the Surface Properties of Sea Ice", IEEE Transactions on Geoscience and Remote Sensing, 34, 3, 771-787.
    • (1996) IEEE Transactions on Geoscience and Remote Sensing , vol.34 , Issue.3 , pp. 771-787
    • Lindsay, R.1    Percival, D.B.2    Rothrock, D.A.3
  • 21
    • 0024700097 scopus 로고
    • A Theory for Multiresolution Signal Decomposition: The Wavelet Representation
    • Mallat, S. (1989): "A Theory for Multiresolution Signal Decomposition: the Wavelet Representation", IEEE Transactions on Pattern Analysis and Machine Intelligence, 11, 674-693.
    • (1989) IEEE Transactions on Pattern Analysis and Machine Intelligence , vol.11 , pp. 674-693
    • Mallat, S.1
  • 22
    • 0000118629 scopus 로고    scopus 로고
    • Output Fluctuations in the United States: What Has Changed Since the Early 1980s?
    • Mc Connel, M.M. and G. Perez Quiros (2000): "Output Fluctuations in the United States: What Has Changed Since the Early 1980s?", American Economic Review, 90, 1464-1476.
    • (2000) American Economic Review , vol.90 , pp. 1464-1476
    • Mc Connel, M.M.1    Perez Quiros, G.2
  • 23
    • 0001259658 scopus 로고
    • The Stationary Wavelet Transform and Some Statistical Applications
    • Antoniadis A. and G. Oppenheim, ed, New York: Springer-Verlag
    • Nason, G.P. and B.W. Silverman (1995): "The Stationary Wavelet Transform and Some Statistical Applications", in Antoniadis A. and G. Oppenheim, ed., Wavelets and Statistics, New York: Springer-Verlag, 281-300.
    • (1995) Wavelets and Statistics , pp. 281-300
    • Nason, G.P.1    Silverman, B.W.2
  • 24
    • 0000477306 scopus 로고
    • On Estimation of the Wavelet Variance
    • Percival, D. (1995): "On Estimation of the Wavelet Variance", Biometrika, 82, 619-631.
    • (1995) Biometrika , vol.82 , pp. 619-631
    • Percival, D.1
  • 26
    • 0032368102 scopus 로고    scopus 로고
    • The Decomposition of Economic Relationship by Time Scale using Wavelets: Money and Income
    • Ramsey, J.B. and C. Lampart (1998a): "The Decomposition of Economic Relationship by Time Scale using Wavelets: Money and Income", Macroeconomic Dynamics, 2, 49-71.
    • (1998) Macroeconomic Dynamics , vol.2 , pp. 49-71
    • Ramsey, J.B.1    Lampart, C.2
  • 27
    • 0141700504 scopus 로고    scopus 로고
    • The Decomposition of Economic Relationship by Time Scale using Wavelets: Expenditure and Income
    • Article
    • _ and _ (1998b): "The Decomposition of Economic Relationship by Time Scale using Wavelets: Expenditure and Income", Studies in Nonlinear Dynamics and Econometrics, 3, No. 1, Article 2.
    • (1998) Studies in Nonlinear Dynamics and Econometrics , vol.3 , Issue.1 , pp. 2
    • Ramsey, J.B.1    Lampart, C.2
  • 28
    • 85047174801 scopus 로고    scopus 로고
    • Wavelets in Economics and Finance: Past and Future
    • March
    • Ramsey, J.B. (2002): "Wavelets in Economics and Finance: Past and Future", C.V. Starr Center for Applied Economics, March, No.2002-02.
    • (2002) C.V. Starr Center for Applied Economics , Issue.2002 -02
    • Ramsey, J.B.1
  • 30
    • 0442325130 scopus 로고    scopus 로고
    • Statistical Properties of the Wavelet Variance Estimator for Non-Gaussian/Non-linear Time Series
    • Serroukh, A., Walden, A.T. and D.B. Percival (2000): "Statistical Properties of the Wavelet Variance Estimator for Non-Gaussian/Non-linear Time Series", Journal of the American Statistical Association, 95, 184-196.
    • (2000) Journal of the American Statistical Association , vol.95 , pp. 184-196
    • Serroukh, A.1    Walden, A.T.2    Percival, D.B.3
  • 31
    • 4444266657 scopus 로고    scopus 로고
    • The Longer Boom
    • PhD thesis, MIT, Cambridge
    • Simon, J. (2000): "The Longer Boom", in Essays in Empirical Macroeconomics, PhD thesis, MIT, Cambridge, 5-34.
    • (2000) Essays in Empirical Macroeconomics , pp. 5-34
    • Simon, J.1
  • 32
    • 77956750491 scopus 로고    scopus 로고
    • Stock, J.H. and M.W. Watson (2000): Business Cycle Fluctuations in US Macroeconomic Time Series, in Taylor B. and M. Woodford, ed., Handbook of Macroeconomics, 1, North Holland, 3-64.
    • Stock, J.H. and M.W. Watson (2000): "Business Cycle Fluctuations in US Macroeconomic Time Series", in Taylor B. and M. Woodford, ed., Handbook of Macroeconomics, vol.1, North Holland, 3-64.
  • 33
    • 33846109529 scopus 로고    scopus 로고
    • Has the Business Cycle Changed and Why?
    • M. Gertler and K. Rogoff, ed, MIT Press
    • Stock, J.H. and M.W. Watson (2002): "Has the Business Cycle Changed and Why?", in M. Gertler and K. Rogoff, ed., NBER Macroeconomics Annual 2002, MIT Press.
    • (2002) NBER Macroeconomics Annual 2002
    • Stock, J.H.1    Watson, M.W.2
  • 34
    • 4544221834 scopus 로고    scopus 로고
    • Understanding Changes in International Business Cycle Dynamics
    • Stock, J.H. and M.W. Watson (2003): "Understanding Changes in International Business Cycle Dynamics", NBER Working Paper Series, No. 9859.
    • (2003) NBER Working Paper Series , vol.9859
    • Stock, J.H.1    Watson, M.W.2
  • 36
    • 0003075574 scopus 로고    scopus 로고
    • An Historical Analysis of Monetary Policy Rules
    • J. Taylor, ed, Chicago: University of Chicago Press
    • Taylor, J. (1999): "An Historical Analysis of Monetary Policy Rules", in J. Taylor, ed., Monetary Policy Rules, Chicago: University of Chicago Press.
    • (1999) Monetary Policy Rules
    • Taylor, J.1
  • 37
    • 0007701943 scopus 로고    scopus 로고
    • Mathematical background for wavelet estimators for cross covariance and cross correlation
    • Technical Report no. 38, National Research Centre for Statistics and the Environment, Seattle
    • Whitcher, B., Guttorp, P. and D.B. Percival (1999): "Mathematical background for wavelet estimators for cross covariance and cross correlation", Technical Report no. 38, National Research Centre for Statistics and the Environment, Seattle.
    • (1999)
    • Whitcher, B.1    Guttorp, P.2    Percival, D.B.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.