scholarly journals FX market volatility modelling: Can we use low-frequency data?

2020 ◽  
pp. 101776
Author(s):  
Štefan Lyócsa ◽  
Tomáš Plíhal ◽  
Tomáš Výrost
2021 ◽  
Vol 282 ◽  
pp. 116146
Author(s):  
Štefan Lyócsa ◽  
Neda Todorova ◽  
Tomáš Výrost

2016 ◽  
Vol 6 (3) ◽  
pp. 264-283 ◽  
Author(s):  
Mingyuan Guo ◽  
Xu Wang

Purpose – The purpose of this paper is to analyse the dependence structure in volatility between Shanghai and Shenzhen stock market in China based on high-frequency data. Design/methodology/approach – Using a multiplicative error model (hereinafter MEM) to describe the margins in volatility of China’s Shanghai and Shenzhen stock market, this study adopts static and time-varying copulas, respectively, estimated by maximum likelihood estimation method to describe the dependence structure in volatility between Shanghai and Shenzhen stock market in China. Findings – This paper has identified the asymmetrical dependence structure in financial market volatility more precisely. Gumbel copula could best fit the empirical distribution as it can capture the relatively high dependence degree in the upper tail part corresponding to the period of volatile price fluctuation in both static and dynamic view. Originality/value – Previous scholars mostly use GARCH model to describe the margins for price volatility. As MEM can efficiently characterize the volatility estimators, this paper uses MEM to model the margins for the market volatility directly based on high-frequency data, and proposes a proper distribution for the innovation in the marginal models. Then we could use copula-MEM other than copula-GARCH model to study on the dependence structure in volatility between Shanghai and Shenzhen stock market in China from a microstructural perspective.


Geophysics ◽  
2021 ◽  
pp. 1-54
Author(s):  
Milad Bader ◽  
Robert G. Clapp ◽  
Biondo Biondi

Low-frequency data below 5 Hz are essential to the convergence of full-waveform inversion towards a useful solution. They help build the velocity model low wavenumbers and reduce the risk of cycle-skipping. In marine environments, low-frequency data are characterized by a low signal-to-noise ratio and can lead to erroneous models when inverted, especially if the noise contains coherent components. Often field data are high-pass filtered before any processing step, sacrificing weak but essential signal for full-waveform inversion. We propose to denoise the low-frequency data using prediction-error filters that we estimate from a high-frequency component with a high signal-to-noise ratio. The constructed filter captures the multi-dimensional spectrum of the high-frequency signal. We expand the filter's axes in the time-space domain to compress its spectrum towards the low frequencies and wavenumbers. The expanded filter becomes a predictor of the target low-frequency signal, and we incorporate it in a minimization scheme to attenuate noise. To account for data non-stationarity while retaining the simplicity of stationary filters, we divide the data into non-overlapping patches and linearly interpolate stationary filters at each data sample. We apply our method to synthetic stationary and non-stationary data, and we show it improves the full-waveform inversion results initialized at 2.5 Hz using the Marmousi model. We also demonstrate that the denoising attenuates non-stationary shear energy recorded by the vertical component of ocean-bottom nodes.


2004 ◽  
Vol 32 (5) ◽  
pp. 2223-2253 ◽  
Author(s):  
Markus Rei� ◽  
Marc Hoffmann ◽  
Emmanuel Gobet

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