Article ID Journal Published Year Pages File Type
5054835 Economic Modelling 2013 7 Pages PDF
Abstract
► Wavelet approach detects more the changes in cyclical properties. ► Time-spectral density detects more time-frequency interaction effects. ► SP500 returns is only stable in the frequency domain. ► The US GDP growth has changed in both time and frequency domains.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
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