An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

LIST OF FIGURES

1.1	Application of translation and dilation to the square-wave function	3
1.2	Sample autocorrelation function for a simulated AR(1) process	4
1.3	Noise filtering with universal and minimax estimators	6
1.4	Identification of structural breaks and IBM volatility	8
1.5	Scaling of foreign exchange volatility across time horizons	9
1.6	Multiresolution analysis of foreign exchange volatility	11
1.7	Wavelet cross-correlation between exchange rate returns	12
2.1	DEM-USD exchange rate and its centered moving averages	20
2.2	DEM-USD exchange rate and its simple moving averages	23
2.3	Filter coefficients in a simple moving average	25
2.4	A circle with radius R	26
2.5	Cyclical functions	27
2.6	Time series of ...