Asset price misalignments are analyzed through wavelet decomposition. The analysis, carried within the time-frequency domain, allows us to detect how far, in a given time period, financial time series, such as house or stock prices, are from their fundamental value. The latter is associated with the low frequency component of a given time series. Moreover, using wavelet analysis, we explore whether monetary policy can contribute to asset price misalignments.
Cipollini, I., Lo Cascio, I. (2011). Wavelet analysis of asset price misalignments. In 5th CSDA International Conference on Computational and Financial Econometrics (CFE 2011). ERCIM.
Wavelet analysis of asset price misalignments
LO CASCIO, Iolanda
2011-01-01
Abstract
Asset price misalignments are analyzed through wavelet decomposition. The analysis, carried within the time-frequency domain, allows us to detect how far, in a given time period, financial time series, such as house or stock prices, are from their fundamental value. The latter is associated with the low frequency component of a given time series. Moreover, using wavelet analysis, we explore whether monetary policy can contribute to asset price misalignments.
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