Search results for "model-free"
showing 3 items of 3 documents
SEA presidential address: Group connectivity and cooperation
2011
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between curr…
Assessment of Cardiorespiratory Interactions During Spontaneous and Controlled Breathing: Non-linear Model-free Analysis
2022
In this work, nonlinear model-free methods for bivariate time series analysis have been applied to study cardiorespiratory interactions. Specifically, entropy-based (i.e. Transfer Entropy and Cross Entropy) and Convergent Cross Mapping asymmetric coupling measures have been computed on heart rate and breathing time series extracted from electrocardiographic (ECG) and respiratory signals acquired on 19 young healthy subjects during an experimental protocol including spontaneous and controlled breathing conditions. Results evidence a bidirectional nature of cardiorespiratory interactions, and highlight clear similarities and differences among the three considered measures.