Hamrita, Mohamed Essaied; Ben Abdallah, Nidhal; Ben … - Volkswirtschaftliche Fakultät, … - 2009
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price for US over the period 1990:1-...