75 research outputs found
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 FabryâPerot (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]]çŽæŹ[[booktype]]é»ć
Absolute measurement of the ^{1}S_{0}âââ^{3}P_{0} clock transition in neutral ^{88}Sr over the 330 km-long stabilized fibre optic link
We report a stability below of two independent optical
lattice clocks operating with bosonic Sr isotope. The value
(429228066418008.3(1.9)(0.9)~Hz) of the absolute
frequency of the - 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
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