So sánh phương pháp

	Phân tích Sóng tài chính trên chuỗi thời gian tài chính	Mô hình Chuyển đổi Chế độ Markov cho Chuỗi Tài chính
Lĩnh vực	Tài chính	Tài chính
Họ	Regression model	Regression model
Năm ra đời	2001	1989
Người khởi xướng	Gençay, Selçuk & Whitcher; Aguiar-Conraria & Soares	James D. Hamilton
Loại	Time-frequency decomposition	Markov regime-switching time-series model
Công trình gốc	Gençay, R., Selçuk, F. & Whitcher, B. (2001). An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Academic Press.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
Tên gọi khác	wavelet coherence, continuous wavelet transform, time-frequency analysis, Dalgacık (Wavelet) Finansal Analiz	Markov switching model, Hamilton regime-switching model, MS-AR, hidden Markov regime model
Liên quan	1	1
Tóm tắt	Wavelet financial analysis decomposes a financial time series into different frequency bands (time scales) so short- and long-term relationships can be studied at the same time. Drawing on the treatments of Gençay, Selçuk and Whitcher (2001) and Aguiar-Conraria and Soares (2014), wavelet coherence then visualises how the relationship between two series shifts across both time and frequency.	The Markov regime-switching model, introduced by James D. Hamilton in 1989, is a hidden-state time-series model in which financial series such as returns or volatility behave with different parameters across distinct economic regimes (bull/bear or high/low volatility). It is the financial application of Hamilton's MS-AR model, where an unobserved Markov state governs which parameter set is active at each point in time.