I require the use of Matlab to perform a wavelet analysis of stock returns from major stock exchanges. Below is a more detail outline of what I require:
-I have stock market data for 26 countries - each having about 540 pieces of data. This data is on an excel spreadsheet. 4 of the
countries will be used as "controls" and I wish to understand the co-movements between the 4 control countries with each of the other 22 countries.
- I which to import the information and apply the three-dimensional analysis of wavelet coherency, (specifically using cross wavelet transform and wavelet coherency.)
- As the information is from the original time-series, I need to solely use continuous wavelets.
- Use the Morlet wavelet with the dimensionless frequency parameter set to 6.
- Finally to assess the statistical significance of the coherence I need to use Monte Carlo methods to create a white noise background spectrum.
Thank you for your time, I hope that you can help me.