ANALYSIS FINANCIAL AND ECONOMIC DATA USING JOINT TIME-FREQUENCY DISTRIBUTIONS
ANALYSIS FINANCIAL AND ECONOMIC DATA USING JOINT TIME-FREQUENCY DISTRIBUTIONS

Summary/Abstract: Analysis of economic/financial time series in the frequency domain is a relative underexplored area of the literature, particularly when the statistical properties of a time series are time-varying (evolving). In this case, the spectral content of the series varies as time passes, making conventional Fourier theory inadequate to fully describe the cyclic characteristics of the series. Time-Frequency Conjuncture Representation techniques (TFR) overcome this problem to the best of their ability, analyzing a given function of time (continuous or discrete) in the time domain and in the frequency domain simultaneously.

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