1. Beran, J. (1994): Statistics for Long - Memory Processes. New York, Chapman and Hall.
2. Percival, D. B., Walden, A. T. (2000), Wavelet Methods for Time series Analysis. Cambridge University Press.
3. Ramsey, J. B. (2002), Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics & Econometrics, 3, 1.
4. Samorodinsky, G. (2006) Long Range Dependence, In Foundations and Trends in Stochastic Systems, Vol. 1, No. 3 163–257.
5. Aguiar-Conraria, L., Martins, M. M., & Soares, M. J. (2012). The yield curve and the macro- economy across time and frequencies. Journal of Economic Dynamics and Control.
6. Gencay, R., & Signori, D. (2015). Multi-scale tests for serial correlation. Journal of Econometrics, 184(1), 62-80.
7. + Lecture notes
Poslední úprava: Bednařík Petr, PhDr., Ph.D. (06.06.2020)
Sylabus - angličtina
Main topics: 1. Introduction (non-linear processes, long memory, self-similarity) 2. Introduction to frequency domain (2 Lectures) Fourier transform, Parseval's theorem 3. Advanced spectral techniques: Estimation of the Spectrum, Periodogram, Correlogram, Coherency spectrum 4. Filters 5. Long memory (2 Lectures) 6. Wavelets (2 Lectures) 7. Recent applications of spectral methods in finance
Poslední úprava: Čuprová Michaela, Mgr. (07.06.2020)
