![]() Luís Aguiar-Conraria | This website belongs to Luís Aguiar-Conraria and Maria Joana Soares. We are both professors and researchers in the University of Minho. In 2007 we started the joint project of applying Wavelet Analysis to Economics, Finance and Political Science, as well as other Social Sciences. Joana Soares is the Mathematician; Aguiar-Conraria is the Economist. This website aims at helping those who are interested in applying wavelet tools on their own work. It will be permanently under construction. All our papers that use wavelets, published and to be published, will be available here, as well as the data we used in each paper. Some of the matlab codes will be made available. In particular, the codes for recent papers that use the toolbox we developed, the ASToolbox. As time goes by, we will update every paper using our own toolbox. Once we do that, the scripts will be available too. The only exceptions will be [1] and [2]. | ![]() Maria Joana Soares |
The ASToolbox contains a series of Matlab functions implementing the continuous wavelet tools described in our papers. Our main objective was to collect into one single directory all the functions necessary to use these tools and also to provide some scripts illustrating their use. This, we hope, will encourage newcomers to the field to make tests with their own data and might contribute to the dissemination of the use of wavelets, not only in economics, finance and political science, but possibly in other areas. The examples provided in this toolbox are attached to the paper The Continuous Wavelet Transform: A Primer.
The toolbox can be freely used. We just ask that you acknowledge the use of our functions in any publications and that a copy of such publication is sent to us. It goes without saying, any corrections, comments and suggestions to improve our functions are most welcome!
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Download the ASToolbox (Last update: January 10, 2011)
Papers and Working-Papers
[7] The Continuous Wavelet Transform: A Primer, NIPE - WP 16 / 2011
[6] The yield curve and the macro-economy across time and frequencies, NIPE - WP 21 / 2010, under review. (Joint with Manuel M. F. Martins)
[5] Synchronism in Electoral Cycles: How United are the United States?, NIPE - WP 17 / 2010. (Joint with Pedro C. Magalhães)
[4] Cycles in Politics: Wavelet Analysis of Political Time-Series, Web Appendix, forthcoming, The American Journal of Political Science. (Joint with Pedro C. Magalhães) (Data and codes)
[3] Business Cycle Synchronization and the Euro: a Wavelet Analysis, 2011, Journal of Macroeconomics, 33(3), doi: 10.1016/j.jmacro.2011.02.005, 477 - 489. (Joint with Maria Joana Soares) (JCR-IF: 0.678)
[2] Oil and the Macroeconomy: using wavelets to analyze old issues, 2011, Empirical Economics, 40(3) doi: 10.1007/s00181-010-0371-x, pp 645 - 655. (JCR-IF: 0.714)
[1] Using Wavelets to Decompose the Time-Frequency Effects of Monetary Policy, 2008, Physica A: Statistical Mechanics and its Applications, 387, doi: 10.1016/j.physa.2008.01.063, pp. 2863–2878. (Joint with Nuno Azevedo) (JCR-IF: 1.521)

