Modeling and forecasting exchange rate volatility in time-frequency domain

This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. Our results indicate that disentangling jump variation from the integrated variation is important for forecasting performance. An interesting insight into the volatility process is also provided by its multiscale decomposition. We find that most of the information for future volatility comes from high frequency part of the spectra representing very short investment horizons. Our newly proposed models outperform statistically the popular as well conventional models in both one-day and multi-period-ahead forecasting

Measuring the frequency dynamics of financial and macroeconomic connectedness

We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on spectral representation of variance decompositions. We argue that the frequency dynamics is insightful when studying the connectedness of variables as shocks with heterogeneous frequency responses will create frequency dependent connections of different strength that remain hidden when time domain measures are used. Two applications support the usefulness of the discussion, guide a user to apply the methods in different situations, and contribute to the literature with important findings about sources of connectedness. Giving up the assumption of global stationarity of stock market data and approximating the dynamics locally, we document rich time-frequency dynamics of connectedness in US market risk in the first application. Controlling for common shocks due to common stochastic trends which dominate the connections, we identify connections of global economy at business cycle frequencies of 18 up to 96 months in the second application. In addition, we study the effects of cross-sectional dependence on the connectedness of variables

Fibre-optic delivery of time and frequency to VLBI station

The quality of Very Long Baseline Interferometry (VLBI) radio observations predominantly relies on precise and ultra-stable time and frequency (T&F) standards, usually hydrogen masers (HM), maintained locally at each VLBI station. Here, we present an operational solution in which the VLBI observations are routinely carried out without use of a local HM, but using remote synchronization via a stabilized, long-distance fibre-optic link. The T&F reference signals, traceable to international atomic timescale (TAI), are delivered to the VLBI station from a dedicated timekeeping laboratory. Moreover, we describe a proof-of-concept experiment where the VLBI station is synchronized to a remote strontium optical lattice clock during the observation.Comment: 8 pages, 8 figures, matches the version published in A&A, section Astronomical instrumentatio

Multi-Channel Data Acquisition System with Absolute Time Synchronization

A low-cost, stand-alone Global-Positioning-System-time-synchronized data acquisition system is described. The constructed prototype allows recoding up to four analog signals with a 16-bit resolution in variable ranges and a maximum sampling rate of 1000 S/s. Additionally, two digital readouts of external sensors can be acquired. A complete data set is stored on a Secure Digital (SD) card or transmitted to a computer using Universal Serial Bus (USB). The estimated time accuracy of the data acquisition is better than 0.2 {\mu}s. The device is envisioned for the use in a global distributed sensor network (the Global Network of Optical Magnetometers for Exotic physics - GNOME), whose aim is to search for new particles and interactions

Spectral filtering of multiple directly modulated channels for WDM access networks by using an FP etalon

[[abstract]]Spectral and waveform reshaping schemes can enhance the transmission distance of fiber links that use directly modulated lasers as transmitters. We prove the feasibility of using a simple Fabry–Perot (FP) etalon as the spectral reshaper for applications in wavelength division multiplexing (WDM) access networks. The transient chirp and adiabatic chirp of a directly modulated laser are analyzed in detail by using the time-resolved chirp measurement. The effects of the original extinction ratio and the adiabatic chirp on the spectral reshaping are clarified to obtain the optimal operation conditions. It is shown that placing a single-cavity FP etalon filter after multiple 10 Gbits/s directly modulated lasers can extend their transmission distances from 10 to 50 km in the 1.55 m wavelength window. Due to the limited filtering capability of the etalon, the choice of the original extinction ratio and finesse of the etalon is discussed in detail from the experiments and simulation.[[incitationindex]]SCI[[incitationindex]]EI[[booktype]]紙本[[booktype]]電子

Absolute measurement of the ^{1}S_{0} − ^{3}P_{0} clock transition in neutral ^{88}Sr over the 330 km-long stabilized fibre optic link

We report a stability below $7\times 10{}^{-17}$ of two independent optical lattice clocks operating with bosonic ${}^{88}$Sr isotope. The value (429228066418008.3(1.9)${}_{syst}$(0.9)${}_{stat}$~Hz) of the absolute frequency of the ${}^{1}S_{0}$ - ${}^{3}P_{0}$ transition was measured with an optical frequency comb referenced to the local representation of the UTC by the 330 km-long stabilized fibre optical link. The result was verified by series of measurements on two independent optical lattice clocks and agrees with recommendation of Bureau International des Poids et Mesures