ANALYSIS FINANCIAL AND ECONOMIC DATA USING JOINT TIME-FREQUENCY DISTRIBUTIONS
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Authors:
• Cătălin DUMITRESCU, email: catalindumi@yahoo.com, Afiliation: Athenaeum University, Bucharest, Romania
• Viorel Constantin Bulmez, email: Valahia University of Targoviste, Romania, Afiliation: bulmez_v@yahoo.comPages:
• 46|55 -
Keywords: JTFA, discrete-time discrete-frequency, time series
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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.
