Showing 1 - 8 of 8
In this paper, by taking the 5-min high frequency data of the Shanghai Composite Index as example, we compare the forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their corresponding short memory model with rolling windows...
Persistent link: https://www.econbiz.de/10010931536
In this study, we examine the daily returns and daily range returns dependent on close–close and the high–low prices when forecasting multifractal volatility in the Chinese stock market. In in-sample forecasting we find that both the daily returns and range returns have a significant impact...
Persistent link: https://www.econbiz.de/10011209698
In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window...
Persistent link: https://www.econbiz.de/10011264549
In this paper, we investigate the cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong. We use not only the qualitative analysis of the cross-correlation test, but also the quantitative analysis of the MF-X-DFA. Our findings confirm the existence...
Persistent link: https://www.econbiz.de/10010608612
In this paper, we investigate the cross-correlation properties between West Texas Intermediate crude oil and the stock markets of the BRIC. We use not only the qualitative analysis of the cross-correlation test, but also take the quantitative analysis of the MF-DXA, confirming the...
Persistent link: https://www.econbiz.de/10011061489
Stochastic resonance (SR) induced by the signal modulation is investigated, by introducing the signal-modulated gain into a single-mode laser system. Using the linear approximation method, we detailedly calculate the signal-to-noise ratio (SNR) of a gain-noise model of the single-mode laser,...
Persistent link: https://www.econbiz.de/10010588583
Owing to the considerable virtues of semiconductor lasers for applications, they have become the main optical source for fiber communication systems recently. The behavior of stochastic resonance (SR) in direct-modulated semiconductor laser systems is investigated in this article. Considering...
Persistent link: https://www.econbiz.de/10010590836
The stochastic resonance phenomenon is studied in a single-mode laser system driven by correlated multiplicative and additive colored noises without modulation by external periodic force. We detect that there are multiple extrema (maximum) in the curve of the mean output laser intensity versus...
Persistent link: https://www.econbiz.de/10010591112