Need help with Wavelet Coherence(CWT)

Question

economystudent1 2018-3-26

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/390733-need-help-with-wavelet-coherence-cwt

评论： economystudent1 2018-3-27

Hey guys,

I'm a finance student so I'm pretty new to all this. I have data and matlab code which I do not understand. Data contains returns from two financial instruments for each day (2012-2018).

This is the code I need to use (from Matlab website):

[wcoh,~,P,coi] = wcoherence(NIRSData(:,1),NIRSData(:,2),1/10,'dt',... 'numscales',16); helperPlotCoherence(wcoh,tm,P,coi,'Time (secs)','Periods (Seconds)');

This is the data I have: https://drive.google.com/open?id=1cIaoX8ch2HIuz01cIxXr5Ha-HbP30xNj

And this is what I should get (it's an example with different variables): https://imgur.com/a/K1dRT

Example's settings: The horizontal axis represents the time in terms of number of trading days while the vertical axis refers to the investment horizon (from scale 1 (2-4 days) up to scale 7 (256 days)).

Thanks in advance! :)