C - Mathematical and Quantitative Methods

• An Introduction to Wavelets for Economists

  Staff Working Paper 2002-3 Christoph Schleicher

  Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1

• Asset Allocation Using Extreme Value Theory

  Staff Working Paper 2002-2 Younes Bensalah

  This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1