Search results for "wavelets"
showing 10 items of 27 documents
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…
Enhanced quantification of wollastonite and calcite in limestone using fluorescence correction based on continuous wavelet transformation for Raman
2020
Raman spectroscopy offers a nondestructive means to identify minerals in rocks, but the ability to use the technology for quantitative mineralogical analysis is limited by fluorescence that can mask the spectral features of minerals. In this paper we apply continuous wavelet transformation (CWT) to remove fluoresence from Raman data acquired from 26 carbonate rock samples. We then record the intensity values of individual spectral features, proxies for mineral abundances, using the original Raman data and the thus inferred CWT data. The intensity values are then compared against the known mineral abundances determined using the scanning electron microscope (SEM) technology. This comparison …
Adaptive surface compression with geometric wavelets.
2008
The recent advances in computer graphics and digitization allow access to an ever finer three-dimensional modelling of the world. The critical challenges with 3D models lie in their transmission and rendering, which must fit the heterogeneity of the end resources (network bandwidth, display terminals . . . ). In this context, this thesis investigates the progressive compression and transmission of 3D models, based on multiresolution analysis, to provide a scalable representation of these geometric models. This work is part of "CoSurf", a collaborative research project involving LIRIS laboratory and France Télécom R&D in Rennes. The proposed hierarchical compression method is based on a wave…
Correlation of oscillatory behaviour in Matlab using wavelets
2014
Here we present a novel computational signal processing approach for comparing two signals of equal length and sampling rate, suitable for application across widely varying areas within the geosciences. By performing a continuous wavelet transform (CWT) followed by Spearman?s rank correlation coefficient analysis, a graphical depiction of links between periodicities present in the two signals is generated via two or three dimensional images. In comparison with alternate approaches, e.g., wavelet coherence, this technique is simpler to implement and provides far clearer visual identification of the inter-series relationships. In particular, we report on a Matlab? code which executes this tec…
Inner functions and local shape of orthonormal wavelets
2011
Abstract Conditions characterizing all orthonormal wavelets of L 2 ( R ) are given in terms of suitable orthonormal bases (ONBs) related with the translation and dilation operators. A particular choice of the ONBs, the so-called Haar bases, leads to new methods for constructing orthonormal wavelets from certain families of Hardy functions. Inner functions and the corresponding backward shift invariant subspaces articulate the structure of these families. The new algorithms focus on the local shape of the wavelet.
Testing for public debt sustainability using a time-scale decomposition analysis
2013
In this paper we estimate the response of primary surplus to lagged debt to test for debt sustainability within the 17 EMU countries by using a factor model. The analysis is split into two stages. In the first stage we retrieve the cyclical and long-run components of primary surplus and debt ratios of each EMU country using a wavelet decomposition for each fiscal covariate, based on the Maximal Overlapping Discrete Wavelet Transform. In the second stage, we use Full Information Maximum Likelihood for a factor decomposition of thecross covariance matrix of the wavelet coefficients of primary deficit and debt to GDP ratios in order to measure the short run and the long run reaction of the pri…
Wavelet analysis of financial contagion
2011
The aim is to estimate a factor model fitted to financial returns to disentagle the role played by common shock and idiosincratic shocks in shaping the comovement between asset returns during periods of calm and financial turbulence. For this purpose, we use wavelet analysis and, in particular, the Maximum Overlapping Discrete Wavelet Transform, to decompose the covariance matrix of the asset returns on a scale by scale basis, where each scale is associated to a given frequency range. This decomposition will give enough moment conditions to identify the role played by common and idiosincratic shocks. A Montecarlo simulation experiment shows that our testing methodology has good size and power …
Testing for contagion: a time-scale decomposition
2011
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…
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…