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

ACKNOWLEDGMENTS

We are thankful to several colleagues and students who provided comments on the earlier versions of the manuscript. In particular, we thank Buz Brock, Dee Dechert, Yanqin Fan, Tung Liu, Jim Ramsey, Thanasis Stengos, and four anonymous referees who provided valuable comments. Our students Oya Pinar Ardiç, Jian Gao, Haitao Shen, and Abdurrahman Ulugülyaci provided excellent research assistance and we are grateful to them. Ramo Gençay’s research is supported by the Natural Sciences and Engineering Research Council of Canada, the Social Sciences and Humanities Research Council of Canada and the University of Windsor, and he would ...