Browsing College of Business and Law by Subject "Wavelets (Mathematics)"

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Downside Risk and the Energy Hedger’s Horizon

Conlon, Thomas ; Cotter, John (University College Dublin Geary Institute, 2012-08)

In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance ...
An empirical analysis of dynamic multiscale hedging using wavelet decomposition

Conlon, Thomas ; Cotter, John (Wiley-Blackwell, 2011-03-07)

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance ...
U.S. core inflation : a wavelet analysis

Cotter, John ; Dowd, Kevin ; Loh, Lixia (Cambridge Journals, 2010-06)

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
U.S. core inflation : a wavelet analysis

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2006-09-10)

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...