6533b833fe1ef96bd129ca56

RESEARCH PRODUCT

The windowed scalogram difference: A novel wavelet tool for comparing time series

Vicente J. BolósRafael BenítezRafael BenítezR. JammaziRomán Ferrer

subject

Computational MathematicsSingle currencyWaveletApplied Mathematics0502 economics and business05 social sciencesCoherence (signal processing)Data mining050207 economicscomputer.software_genrecomputer050205 econometrics Mathematics

description

Abstract We introduce a new wavelet-based tool called windowed scalogram difference (WSD), which has been designed to compare time series. This tool allows quantifying if two time series follow a similar pattern over time, comparing their scalograms and determining if they give the same weight to the different scales. The WSD can be seen as an alternative to another tool widely used in wavelet analysis called wavelet squared coherence (WSC) and, in some cases, it detects features that the WSC is not able to identify. As an application, the WSD is used to examine the dynamics of the integration of government bond markets in the euro area since the inception of the euro as a European single currency in January 1999.

yearjournalcountryeditionlanguage
2017-11-01Applied Mathematics and Computation
https://doi.org/10.1016/j.amc.2017.05.046