Work detail

Application of band spectrum regression in economic problems

Author: Mgr. Andrej Zubaľ
Year: 2015 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Work type: Economic Theory
Language: English
Pages: 78
Awards and prizes:
Abstract: In recent years, there has been a rise of interest in the use of various spectral
methods in economics and econometrics. These methods have their theoretical
background in mathematics, particularly in Fourier analysis. The less traditional
and relatively new branch of methods stems from the so-called wavelet
analysis. Wavelet methods are believed to have a wide applicability in the analysis
of economic time series. The motivation for this thesis is to introduce these
methods and apply them in the analysis of economic problems, thereby showing
their usefulness within the economic context. Particular attention is paid to
band spectrum regression, which allows for decomposition of economic relationships
into different frequency components. In this work, we use wavelet band
spectrum regression, among other wavelet methods, to analyze the relationship
between realized and implied volatilities for the price of crude oil. Second
application is from the field of macroeconomics. We analyze the relationship
between unemployment and labor productivity growth for four major European




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