Who drives the dance? Further insights from a time-frequency wavelet analysis of the interrelationship between stock markets and uncertainty

Author(s):  
Amine Ben Amar ◽  
Jean-Étienne Carlotti
2019 ◽  
pp. 7
Author(s):  
Houssam Benfriha ◽  
Maachou Dani Elkibir

2017 ◽  
Vol 44 (4) ◽  
pp. 518-539
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor ◽  
Nur Azura Sanusi ◽  
Ronald Ravinesh Kumar

Purpose The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons. Design/methodology/approach The authors use daily data of 11 US industries stock markets and their credit counterparts to model the dynamic dependence and casual nexuses using time-frequency approach, namely, wavelet squared coherence (WTC). Findings The WTC estimation results show that credit and stock markets are out of phase (counter cyclical) and stock markets lead their credit counterparts. The coherence between two markets increases during financial crises. The banks (utilities) industry credit and stock markets have relatively high (low) dependence. Research limitations/implications The casual nexuses between stock and credit markets have multilateral dimensions. Greater interest in examining the relationship between stock markets and credit default swap (CDS) spreads emerged as an important albeit a complex area of research, and gained prominence especially at the onset and following the global financial crises of 2007-2008 which clearly showed that the positive views of CDSs contribution in creating a resilient and efficient financial sector was nothing further from the truth. Practical implications The arbitrage and hedging opportunities between stock and credit markets are industry dependent and vary over investment time horizons. The utilities industry seems attractive for the investment with the objective to exploit arbitrage, but not for hedging. Originality/value The paper, for the first time, employs time-frequency approach to assess the arbitrage opportunities between US industry-level credit and stock markets.


2019 ◽  
Vol 255 ◽  
pp. 02011
Author(s):  
Ahmed M. Abdelrhman ◽  
M. Salman Leong ◽  
Y.H. Ali ◽  
Iftikhar Ahmad ◽  
Christina G. Georgantopoulou ◽  
...  

This paper studies the diagnosis of twisted blade in a multi stages rotor system using adapted wavelet transform and casing vibration. The common detection method (FFT) is effective only if sever blade faults occurred while the minor faults usually remain undetected. Wavelet analysis as alternative technique is still unable to fulfill the fault detection and diagnosis accurately due to its inadequate time-frequency resolution. In this paper, wavelet is adapted and its time-frequency is improved. Experimental study was undertaken to simulate multi stages rotor system. Results showed that the adapted wavelet analysis is effective in twisted blade diagnosis compared to the conventional one.


Energies ◽  
2020 ◽  
Vol 13 (12) ◽  
pp. 3162 ◽  
Author(s):  
Tiantian Liu ◽  
Shigeyuki Hamori

This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.


Author(s):  
Qinling Yan ◽  
Sanyi Tang ◽  
Zhen Jin ◽  
Yanni Xiao

Five epidemic waves of A(H7N9) occurred between March 2013 and May 2017 in China. However, the potential risk factors associated with disease transmission remain unclear. To address the spatial–temporal distribution of the reported A(H7N9) human cases (hereafter referred to as “cases”), statistical description and geographic information systems were employed. Based on long-term observation data, we found that males predominated the majority of A(H7N9)-infected individuals and that most males were middle-aged or elderly. Further, wavelet analysis was used to detect the variation in time-frequency between A(H7N9) cases and meteorological factors. Moreover, we formulated a Poisson regression model to explore the relationship among A(H7N9) cases and meteorological factors, the number of live poultry markets (LPMs), population density and media coverage. The main results revealed that the impact factors of A(H7N9) prevalence are manifold, and the number of LPMs has a significantly positive effect on reported A(H7N9) cases, while the effect of weekly average temperature is significantly negative. This confirms that the interaction of multiple factors could result in a serious A(H7N9) outbreak. Therefore, public health departments adopting the corresponding management measures based on both the number of LPMs and the forecast of meteorological conditions are crucial for mitigating A(H7N9) prevalence.


2001 ◽  
Vol 123 (3) ◽  
pp. 303-310 ◽  
Author(s):  
Peter W. Tse ◽  
Y. H. Peng ◽  
Richard Yam

The components which often fail in a rolling element bearing are the outer-race, the inner-race, the rollers, and the cage. Such failures generate a series of impact vibrations in short time intervals, which occur at Bearing Characteristic Frequencies (BCF). Since BCF contain very little energy, and are usually overwhelmed by noise and higher levels of macro-structural vibrations, they are difficult to find in their frequency spectra when using the common technique of Fast Fourier Transforms (FFT). Therefore, Envelope Detection (ED) is always used with FFT to identify faults occurring at the BCF. However, the computation of ED is complicated, and requires expensive equipment and experienced operators to process. This, coupled with the incapacity of FFT to detect nonstationary signals, makes wavelet analysis a popular alternative for machine fault diagnosis. Wavelet analysis provides multi-resolution in time-frequency distribution for easier detection of abnormal vibration signals. From the results of extensive experiments performed in a series of motor-pump driven systems, the methods of wavelet analysis and FFT with ED are proven to be efficient in detecting some types of bearing faults. Since wavelet analysis can detect both periodic and nonperiodic signals, it allows the machine operator to more easily detect the remaining types of bearing faults which are impossible by the method of FFT with ED. Hence, wavelet analysis is a better fault diagnostic tool for the practice in maintenance.


Author(s):  
Kazuaki Inaba ◽  
Hiroto Takahashi ◽  
Yu Kurokawa ◽  
Kikuo Kishimoto

The present study experimentally analyzes flexural wave fronts in water hammer and slurry hammer with polycarbonate tubes by wavelet analysis. The water/slurry hammer was initiated by the impact between the free-falling projectile and the water/slurry in the vertical mounting tube. We measured hoop strain histories of flexural wave fronts at several locations by strain gages and analyzed the histories, using the wavelet transform method. The wavelet power spectrum near the flexural wave fronts and dispersion behaviors in water/slurry hammer were examined. In the water hammer experiments, by tracing the dispersion curve from the time-frequency signal, it is revealed that the water hammer front have a dispersion tendency. Moreover, the measured frequencies indicate a reasonable agreement with the Skalak’s theory [1, 2]. As for slurry, we mixed water and alumina balls or polystyrene (PS) balls. Wave speeds with Alumina or PS balls were compared with theoretical estimations by Han et al. [3, 4]. It is confirmed that the particles enhance slurry hammer’s dispersion and the oscillation frequency of the slurry hammer becomes lower than that of the water hammer. Additionally, the oscillation frequency corresponds to the theoretical value estimated from wave speed assuming particles as rigid-body particles.


Sign in / Sign up

Export Citation Format

Share Document