Spectral Analysis Of Business Cycles In The Visegrad Group Countries

This paper examines the business cycle properties of Visegrad group countries. The main objective is to identify business cycles in these countries and to study the relationships between them. The author applies a modification of the Fourier analysis to estimate cycle amplitudes and frequencies. This allows for a more precise estimation of cycle characteristics than the traditional approach. The cross-spectral analysis of GDP cyclical components for the Czech Republic, Hungary, Poland and Slovakia makes it possible to assess the degree of business cycle synchronization between the countries

Data compression for estimation of the physical parameters of stable and unstable linear systems

A two-stage method for the identification of physical system parameters from experimental data is presented. The first stage compresses the data as an empirical model which encapsulates the data content at frequencies of interest. The second stage then uses data extracted from the empirical model of the first stage within a nonlinear estimation scheme to estimate the unknown physical parameters. Furthermore, the paper proposes use of exponential data weighting in the identification of partially unknown, unstable systems so that they can be treated in the same framework as stable systems. Experimental data are used to demonstrate the efficacy of the proposed approach

Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.Comment: 46 pages, 7 figures, accepted for publication in Journal of Banking & Financ