Wavelet analysis of asset price misalignments

Research output: Contribution to conferenceOtherpeer-review

Abstract

Asset price misalignments are analyzed through wavelet decomposition. The analysis, carried within the time-frequency domain, allows us todetect how far, in a given time period, financial time series, such as house or stock prices, are from their fundamental value. The latter is associatedwith the low frequency component of a given time series. Moreover, using wavelet analysis, we explore whether monetary policy can contribute toasset price misalignments.
Original languageEnglish
Number of pages15
Publication statusPublished - 2011

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