Search results for "wavelet."
showing 10 items of 327 documents
Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis
2021
This paper examines the interdependence between green financial instruments, represented by green bonds and green stocks, and a set of major conventional assets, such as Treasury, investment-grade and high-yield corporate bonds, general stocks, crude oil, and gold. To that end, a novel wavelet-based network approach that allows for assessing the degree of interconnection between green financial products and traditional asset classes across different investment horizons is applied. The empirical results show that green bonds are tightly linked to Treasury and investment-grade corporate bonds, while green stocks are strongly tied to general stocks, regardless of the specific time period and i…
Interest rate changes and stock returns in Spain: A wavelet analysis
2015
This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further,…
Robust Light Field Watermarking by 4D Wavelet Transform
2020
Unlike common 2D images, the light field representation of a scene delivers spatial and angular description which is of paramount importance for 3D reconstruction. Despite the numerous methods proposed for 2D image watermarking, such methods do not address the angular information of the light field. Hence the exploitation of such methods may cause severe destruction of the angular information. In this paper, we propose a novel method for light field watermarking with extensive consideration of the spatial and angular information. Considering the 4D innate of the light field, the proposed method incorporates 4D wavelet for the purpose of watermarking and converts the heavily-correlated chann…
Pathological voice analysis via digital signal processing
2015
The interest in pathological voice analysis for specific neurological diseases is growing up aiming to offer more Health-care tele monitoring services since new high performing electronic devices are available for the end-user. In this article we show some parameters that can be digitally extracted and analyzed from pathological voices, in order to find a distinctive sign of the Parkinson disease. As a result, we will show a parameter that gives some information about the Parkinson disease characterization, particularly for male patients. We will also discuss about the needed computational cost related to parameters extraction and elaboration, aiming to target a possible tough yet portable …
Biorthogonal Multiwavelets Originated from Hermite Splines
2015
This chapter presents multiwavelet transforms that manipulate discrete-time signals. The transforms are implemented in two phases: 1. Pre (post)-processing, which transforms a scalar signal into a vector signal (and back). 2. Wavelet transforms of the vector signal. Both phases are performed in a lifting way. The cubic interpolating Hermite splines are used as a predicting aggregate in the vector wavelet transform. Pre(post)-processing algorithms which do not degrade the approximation accuracy of the vector wavelet transforms are presented. A scheme of vector wavelet transforms and three pre(post)-processing algorithms are described. As a result, we get fast biorthogonal algorithms to trans…
Disappearance of correlations in the atom motion upon hydrogen intercalation into ReO3lattice
2016
The influence of hydrogen intercalation on the local structure of rhenium trioxide is studied in-situ by the Re L3-edge EXAFS spectroscopy and analysed using a novel approach, based on the use of evolutionary algorithm and wavelet transform. The proposed method allows us to perform accurate EXAFS analysis within the multiple-scattering approach taking into account contributions from outer coordination shells and to access the information on correlations in atomic thermal motion.
Testing for Contagion: a Time-Scale Decomposition
2010
The aim of the paper is to test for financial contagion by estimating a simultaneous equation model subject to structural breaks. For this purpose, we use the Maximum Overlapping Discrete Wavelet Transform, MODWT, to decompose four asset returns into different scale components (each associated with a given frequency range). The decomposition will enable us to obtain the moment conditions necessary to (over)identify a structural form model with a single dummy and the one with multiple dummies capturing shifts in the co-movement of asset returns occurring during periods of financial turmoil. A Montecarlo simulation exercise shows that test based on a single dummy structural form model has goo…
A New Wavelet Tool to Quantify Non-Periodicity of Non-Stationary Economic Time Series
2020
We introduce a new wavelet tool, the windowed scale index, to study the degree of non-periodicity of time series. The windowed scale index is based on some recently defined tools, such as the windowed scalogram and the scale index. This novel measure is appropriate for non-stationary time series whose characteristics change over time and, therefore, it can be applied to a wide variety of disciplines. Furthermore, we revise the concept of the scale index and pose a theoretical problem: it is known that if the scale index of a function is not zero then it is non-periodic, but if the scale index of a function is zero, then it is not proved that it has to be periodic. This problem is solved for…
Timescale-dependent stock market comovement: BRICs vs. developed markets
2014
This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the U.S. for different return periods. The novelty of the paper is that the stock return indices are decomposed to several timescales using wavelet analysis and that the results are further used as inputs for the dynamic conditional correlation (DCC) framework, which is used as a measure of comovement. The results propose that the level of stock market comovement depends on regional aspects, the level of d…
A data aggregation strategy based on wavelet for the internet of things
2017
The advent of emerging information and communication technologies, such as RFID, small size sensors and sensor networks, has made accessible a huge amount of information that requires sophisticated and efficient search algorithms to support queries on that data. In this paper we focus on the problem of aggregating data collected from these devices to efficiently support queries, inferences or statistics on them. In general, data aggregation techniques are necessary to efficiently collect information in a compact and cost-effective way. Some current solutions try to meet the above criteria, by exploiting different data aggregation techniques, for instance BitVector or Q_Digest. In this manus…