There are known wavelets with exponential decay on infinity [2,3,4] and wavelets with compact support [5]. But these functions have finite smoothness. It is known that there do not exist infinitely differentiable compactly supported wavelets.
@article{urn:eudml:doc:41926, title = {On infinitely smooth almost-wavelets with compact support.}, journal = {Collectanea Mathematica}, volume = {44}, year = {1993}, pages = {41-46}, zbl = {0803.42020}, mrnumber = {MR1280723}, language = {en}, url = {http://dml.mathdoc.fr/item/urn:eudml:doc:41926} }
Berkolaiko, M.; Novikov, I. On infinitely smooth almost-wavelets with compact support.. Collectanea Mathematica, Tome 44 (1993) pp. 41-46. http://gdmltest.u-ga.fr/item/urn:eudml:doc:41926/