Wavelet analysis of asset price misalignments
- Authors: Cipollini, I; Lo Cascio, I
- Publication year: 2011
- Type: Abstract in atti di convegno pubblicato in volume
- OA Link: http://hdl.handle.net/10447/79521
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.