This study examines the connectedness in high-order moments between cryptocurrency,major stock(U.S.,U.K.,Eurozone,and Japan),and commodity(gold and oil)markets.Using intraday data from 2020 to 2022 and the time and fr...This study examines the connectedness in high-order moments between cryptocurrency,major stock(U.S.,U.K.,Eurozone,and Japan),and commodity(gold and oil)markets.Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Barunik and Křehlik(J Financ Econom 16(2):271–296,2018),we investigate spillovers among the markets in realized volatility,the jump component of realized volatility,realized skewness,and realized kurtosis.These higher-order moments allow us to identify the unique characteristics of financial returns,such as asymmetry and fat tails,thereby capturing various market risks such as downside risk and tail risk.Our results show that the cryptocurrency,stock,and commodity markets are highly connected in terms of volatility and in the jump component of volatility,while their connectedness in skewness and kurtosis is smaller.Moreover,jump and volatility connectedness are more persistent than that of skewness and kurtosis connectedness.Our rolling-window analysis of the connectedness models shows that connectedness varies over time across all moments,and tends to increase during periods of high uncertainty.Finally,we show the potential of gold and oil as hedging and safe-haven investments for other markets given that they are the least connected to other markets across all moments and investment horizons.Our findings provide useful information for designing effective portfolio management and cryptocurrency regulations.展开更多
On the basis of an introduction of the Wigner Higher-Order spectra (WHOS) and a general class of time-frequency higher-order moment spectra, the geophysical signal was analyzed using the higher order time-frequency di...On the basis of an introduction of the Wigner Higher-Order spectra (WHOS) and a general class of time-frequency higher-order moment spectra, the geophysical signal was analyzed using the higher order time-frequency distributions (TFD). Simulation results obtained in this paper show that the higher-order TFD (Wigner Bispectrum, Wigner Trispectrum and Choi-Williams Trispectrum) have much better Time-Frequency Concentration than the second-order TFD, and the reduced interference higher-order TFD such as CWT can effectively reduce the cross-term in multicomponent signals and simultaneously obtain high time-frequency concentration.展开更多
A new technique is proposed for range alignment in Inverse Synthetic Aperture Radar （ISAR）. The basic idea is to perform range alignment using a maximum kurtosis （fourth-order central moment） criterion. After maxi...A new technique is proposed for range alignment in Inverse Synthetic Aperture Radar （ISAR）. The basic idea is to perform range alignment using a maximum kurtosis （fourth-order central moment） criterion. After maximizing the kurtosis of the combined range profile of two adjacent echoes, the amount of range shift between them can be automatically tracked out. The combined range profile is constructed by a max operation, which only reserves the larger elements of the two echoes, and the echoes＇ amplitudes are limited before they are combined. This algorithm has bee~ used to process real ISAR data and the results demonstrate the effectiveness of the method. Compared with the correlation method and the minimum entropy method, the proposed algorithm obtains much better results in both examples in this paper. Its computation complexity has the same order of magnitude as the minimum entropy method.展开更多
The paper addresses the problem of target recognition using High-resolution Radar Range Profiles(HRRP).A novel approach of feature extraction and dimension reduction based on extended high order central moments is pro...The paper addresses the problem of target recognition using High-resolution Radar Range Profiles(HRRP).A novel approach of feature extraction and dimension reduction based on extended high order central moments is proposed in order to reduce the dimension of range profiles.Features extracted from radar HRRPs are normalized and smoothed,and then comparative analysis of the similar approaches is done.The range profiles are obtained by step frequency technique using the two-dimensional backscatters distribution data of four different aircraft models.The template matching method by nearest neighbor rules,which is based on the theory of kernel methods for pattern analysis,is used to classify and identify the range profiles from four different aircrafts.Numerical simulation results show that the proposed approach can achieve good performance of stability,shift independence and higher recognition rate.It is helpful for real-time identification and the engineering implements of automatic target recognition using HRRP.The number of required templates could be reduced con-siderably while maintaining an equivalent recognition rate.展开更多
This paper studies the title problem including an analysis of the gyroscopic effects of the wheels of a rail-car travelling at high-speed around a level, horizontal curve. The analysis is based upon the fundamental pr...This paper studies the title problem including an analysis of the gyroscopic effects of the wheels of a rail-car travelling at high-speed around a level, horizontal curve. The analysis is based upon the fundamental principles of dynamics. The result is a design formula for the minimum curve radius needed to prevent derailment. Aside from the rail car geometric and physical properties, the minimum curve radius depends upon the square the train speed. An illustrative example shows that the wheel gyroscopic effect is destabilizing and additive to the centrifugal force derailment tendency. From a track design perspective, however, the gyroscopic effect is relatively small compared with the centrifugal force effect.展开更多
基金financial support from Fundacao para a Ciencia e a Tecnologia under the project(Grant UIDB/04007/2020)supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422).
文摘This study examines the connectedness in high-order moments between cryptocurrency,major stock(U.S.,U.K.,Eurozone,and Japan),and commodity(gold and oil)markets.Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Barunik and Křehlik(J Financ Econom 16(2):271–296,2018),we investigate spillovers among the markets in realized volatility,the jump component of realized volatility,realized skewness,and realized kurtosis.These higher-order moments allow us to identify the unique characteristics of financial returns,such as asymmetry and fat tails,thereby capturing various market risks such as downside risk and tail risk.Our results show that the cryptocurrency,stock,and commodity markets are highly connected in terms of volatility and in the jump component of volatility,while their connectedness in skewness and kurtosis is smaller.Moreover,jump and volatility connectedness are more persistent than that of skewness and kurtosis connectedness.Our rolling-window analysis of the connectedness models shows that connectedness varies over time across all moments,and tends to increase during periods of high uncertainty.Finally,we show the potential of gold and oil as hedging and safe-haven investments for other markets given that they are the least connected to other markets across all moments and investment horizons.Our findings provide useful information for designing effective portfolio management and cryptocurrency regulations.
基金Supported by the National Natural Science Foundation of China( 4 990 40 10 )
文摘On the basis of an introduction of the Wigner Higher-Order spectra (WHOS) and a general class of time-frequency higher-order moment spectra, the geophysical signal was analyzed using the higher order time-frequency distributions (TFD). Simulation results obtained in this paper show that the higher-order TFD (Wigner Bispectrum, Wigner Trispectrum and Choi-Williams Trispectrum) have much better Time-Frequency Concentration than the second-order TFD, and the reduced interference higher-order TFD such as CWT can effectively reduce the cross-term in multicomponent signals and simultaneously obtain high time-frequency concentration.
基金the National Natural Science Foundation of China (No.60502030) and Aeronautical Science Founda-tion of China (No.05D52027).
文摘A new technique is proposed for range alignment in Inverse Synthetic Aperture Radar （ISAR）. The basic idea is to perform range alignment using a maximum kurtosis （fourth-order central moment） criterion. After maximizing the kurtosis of the combined range profile of two adjacent echoes, the amount of range shift between them can be automatically tracked out. The combined range profile is constructed by a max operation, which only reserves the larger elements of the two echoes, and the echoes＇ amplitudes are limited before they are combined. This algorithm has bee~ used to process real ISAR data and the results demonstrate the effectiveness of the method. Compared with the correlation method and the minimum entropy method, the proposed algorithm obtains much better results in both examples in this paper. Its computation complexity has the same order of magnitude as the minimum entropy method.
文摘The paper addresses the problem of target recognition using High-resolution Radar Range Profiles(HRRP).A novel approach of feature extraction and dimension reduction based on extended high order central moments is proposed in order to reduce the dimension of range profiles.Features extracted from radar HRRPs are normalized and smoothed,and then comparative analysis of the similar approaches is done.The range profiles are obtained by step frequency technique using the two-dimensional backscatters distribution data of four different aircraft models.The template matching method by nearest neighbor rules,which is based on the theory of kernel methods for pattern analysis,is used to classify and identify the range profiles from four different aircrafts.Numerical simulation results show that the proposed approach can achieve good performance of stability,shift independence and higher recognition rate.It is helpful for real-time identification and the engineering implements of automatic target recognition using HRRP.The number of required templates could be reduced con-siderably while maintaining an equivalent recognition rate.
文摘This paper studies the title problem including an analysis of the gyroscopic effects of the wheels of a rail-car travelling at high-speed around a level, horizontal curve. The analysis is based upon the fundamental principles of dynamics. The result is a design formula for the minimum curve radius needed to prevent derailment. Aside from the rail car geometric and physical properties, the minimum curve radius depends upon the square the train speed. An illustrative example shows that the wheel gyroscopic effect is destabilizing and additive to the centrifugal force derailment tendency. From a track design perspective, however, the gyroscopic effect is relatively small compared with the centrifugal force effect.
