Search results for " Wavelets"
showing 5 items of 15 documents
Volatility co-movements: a time scale decomposition analysis
2013
In this paper we investigate short-run co-movements before and after the Lehman Brothers’ collapse among the volatility series of US and a number of European countries. The series under investigation (implied and realized volatility) exhibit long-memory and, in order to avoid missspecification errors related to the parameterization of a long memory multivariate model, we rely on wavelet analysis. More specifically, we retrieve the time series of wavelet coefficients for each volatility series for high frequency scales, using the Maximal Overlapping Discrete Wavelet transform and we apply Maximum Likelihood for a factor decomposition of the short-run covariance matrix. The empirical evidence…
Volatility co-movements: a time scale decomposition analysis
2014
In this paper we are interested in detecting contagion from US to European stock market volatilities in the period immediately after the Lehman Brothers’ collapse. The analysis, based on a factor decomposition of the covariance matrix of implied and realized volatilities, is carried for different sub-samples (identified as normal and crisis periods) and across different (high) frequency bands. In particular, the analysis is split in two stages. In the first stage, we retrieve the time series of wavelet coefficients for each volatility series for high frequency scales, using the Maximal Overlapping Discrete Wavelet transform and, in a second stage, we apply Maximum Likelihood for a factor de…
A Study on Patch-Based Progressive Coding Schemes of Semi-Regular 3D Meshes for Local Wavelet Compression and View-Dependent Transmission
2010
International audience; This paper firstly introduces a wavelet-based segmentation for three-dimensional (3D) Semi-Regular (SR) meshes, as a pre-processing step, in a region-independent progressive coding algorithm. The proposed segmentation process aims at producing homogeneous regions with respect to their frequency amplitudes on the mesh surface, in other words: patches with different degrees of roughness. We have then studied the behavior of the wavelets, obtained during the independent coding of each region, especially close to the patch boundaries. The main contribution of this paper consists in considering three different possible wavelet decompositions, close to the region borders, …
A 3D multispectral integrated acquisition system : acquisition, data coding and compression
2010
We have developed an integrated system permitting the simultaneous acquisition of the 3D shape and the spectral spectral reflectance of scanned object surfaces. We call this system a 3D multispectral scanner because it combines within a stereopair, a multispectral video camera and a structured light projector. We see several application possibilities for a such acquisition system but we want to highlight applications in the field of digital archiving and broadcasting for heritage objects. In the manuscript we first introduce the acquisition system and its necessary calibrations and treatments needed for his use. Then, once the acquisition system is functional, data that are generated are ri…
Optical flow estimation from multichannel spherical image decomposition
2011
International audience; The problem of optical flow estimation is largely discussed in computer vision domain for perspective images. It was also proven that, in terms of optical flow analysis from these images, we have difficulty distinguishing between some motion fields obtained with little camera motion. The omnidirectional cameras provided images with large filed of view. These images contain global information about motion and allow to remove the ambiguity present in perspective case. Nevertheless, these images contain significant radial distortions that is necessary to take into account when treating these images to estimate the motion. In this paper, we shall describe new way to comp…