Ultra wide band (UWB) radio positioning technology is widely used in indoor high-precision
positioning scenes, while obstacles in the wireless signal propagation path will cause the …

At subsecond horizons, bids and offers in US equity markets are more volatile than what
would be implied by long-term fundamentals. To assess costs and consequences, this paper …

In this paper, we empirically examine the predictive power of macroeconomic uncertainty on
the volatility of agricultural, energy and metals commodity markets. We find that the latent …

Abstract We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities
of crude oil futures markets with exogenous factors. With these IHM models, we lift the …

In this chapter, we present a literature review of the agricultural and food price volatility
patterns observed over the last decade. We focus on studies published in peer-reviewed …

We forecast the realized and median realized volatility of agricultural commodities using
variants of the heterogeneous autoregressive (HAR) model. We obtain tick-by-tick data on …

This study is the first attempt to investigate both the linear and non-linear Granger causality
between wavelet transformed spot and futures oil prices. Our findings consistently indicate …

We investigate the time-scale relationships between US equity and commodity markets. The
empirical evidence from the risk-return profitability analysis based on the wavelet coherence …

Analysis of Financial Time'Series using Fourier and Wavelet Methods Page 1 Electronic copy
available at: http://ssrn.com/abstract=1289420 Analysis of Financial Time'Series using Fourier …

We examine the predictive value of El Niño and La Niña weather episodes for the
subsequent realized variance of 16 agricultural commodity prices. To this end, we use high …