Working Paper


John Cotter
Kevin Dowd



inflation prediction inflation finance mathematical models trend inflation wavelet analysis wavelets mathematics inflation finance forecasting core inflation wavelets

U.S. core inflation : a wavelet analysis (2006)

Abstract This paper proposes the use of wavelet methods to estimate U.S. core inflation. Itexplains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet-based measures perform better, and sometimes much better, than the Traditional approaches. These results suggest that wavelet methods are a promising avenue for future research on core inflation.
Collections Ireland -> University College Dublin -> Institutes and Centres
Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> Financial Mathematics Computation Cluster
Ireland -> University College Dublin -> FMC² Research Collection
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

John Cotter, Kevin Dowd

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John Cotter
University College Dublin
Total Publications: 93