Project detail

Time-frequency selective techniques for comovement analysis

Duration: 01.01.2017 — 31.12.2018

Funding resources

Czech Science Foundation - Standardní projekty

- whole funder (2017-01-01 - 2018-12-31)

On the project

The project will focus on research of selected time-frequency analysis methods with economic applications of comovement analysis. The particular focus will be put on sensitivity of methods on sample size and comovement, identification, description of cycle frequency changes in time-frequency domain and optimal fusion of several distinct time-frequency approaches. Recently proposed comovement-selective filter will be extended from wavelet-based method to spectrogram and time-varying autoregressive case and its parameters will be optimized to various comovement measures. The performance of the methods will also be assessed using the Monte-Carlo simulation on the generated data with known properties and the frequency-temporal structure resembling the general properties of the economic indicators. Moreover, proposed approaches will be used in application of frequency-selective regression and the economic interpretation of results will be provided.

Description in Czech
Cílem projektu je formulovat metodu optimální kombinace časově-frekvenčních metod, zobecnit filtr selektivní na společný pohyb, optimalizovat jeho parametry a demonstrovat aplikaci zkoumaných metod do oblasti frekvenčně-selektivní regrese a extrakce parametrů.

Keywords
comovement, time-frequency, selective-filter

Mark

GA17-24309S

Default language

English

People responsible

Blumenstein Jiří, doc. Ing., Ph.D. - fellow researcher
Fidrmuc Jarko, prof - fellow researcher
Klejmová Eva, Ing., Ph.D. - fellow researcher
Korhonen Iikka - fellow researcher
Kučerová Zuzana, doc, PhD - fellow researcher
Malach Tobiáš, Ing., Ph.D. - fellow researcher
Maršálek Roman, prof. Ing., Ph.D. - fellow researcher
Dluhá Jitka, doc. RNDr., Ph.D. - principal person responsible

Units

Department of Radio Electronics
- beneficiary (2017-01-01 - not assigned)

Results

KLEJMOVÁ, E.; MALACH, T.; POMĚNKOVÁ, J. Wavelet Significance Testing with Respect to GWN Background: Monte Carlo Simulation Usage. In Proceedings of 27th international conference Radioelektronika 2017. Brno: Institute of Electrical and Electronics Engineers Inc., 2017. p. 187-190. ISBN: 978-1-5090-4591-4.
Detail

KLEJMOVÁ, E.; POMĚNKOVÁ, J.; BLUMENSTEIN, J. Combination of Time-Frequency representations for Background Noise Suppresion. In Proceedings 31st European Conference on Moelling and Simulation ECMS 2017. Německo: Digitaldruck Pirrot GmbH, 2017. p. 93-99. ISBN: 978-0-9932440-4-9.
Detail

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T. Evaluation of Background Noise for Significance Level Identification. In Proceedings of the 24th International Conference on Systems, Signals and Image Processing. Poznaň: IEEE, 2017. p. 1-5. ISBN: 978-1-5090-6344-4.
Detail

KLEJMOVÁ, E.; POMĚNKOVÁ, J. Identification of a Time-Varying Curve in Spectrogram. Radioengineering, 2017, vol. 26, no. 1, p. 291-298. ISSN: 1210-2512.
Detail

KUČEROVÁ, Z.; POMĚNKOVÁ, J. The Role of Credit Standards as an Indicator of the Supply of Credit. In 35th International Conference Mathematical Methods In Economics, Conference Proceedings. Hradec Králové: Gaudeamus, University of Hradec Králové, 2017. p. 378-392. ISBN: 978-80-7435-678-0.
Detail

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T. Co-movement (Sub-)Indicator as the Measurement of the Synchrony of EA and Visegrad Group Countries. Journal of Economics, 2020, vol. 68, no. 3, p. 231-251. ISSN: 0013-3035.
Detail

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T. Optimized Segmentation-Adaptive-Based Testing of the Wavelet Co-movement Analysis: the Case of US and G8 Countries. In ITM Web of Conferences. ITM Web of Conferences. The 2018 International Conference Applied Mathematics, Computational Science and Systems Engineering. Roma, Italy: 2019. p. 1-7. ISSN: 2271-2097.
Detail

KUČEROVÁ, Z.; POMĚNKOVÁ, J.; KLEJMOVÁ, E. Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing. In 36th International Conference Mathematical Methods In Economics, Conference Proceedings. Jindřichův Hradec: MatfyzPress, MFF UK, 2018. p. 270-275. ISBN: 978-80-7378-371-6.
Detail

KLEJMOVÁ, E.; MALACH, T.; POMĚNKOVÁ, J. Segmentation Based Testing of Co-movement Significance. In Proceedings of the 25th International Conference on Systems, Signals and Image Processing. Maribor: 2018. p. 1-5. ISBN: 978-1-5386-6979-2.
Detail

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; KUČEROVÁ, Z. Cyclicality in Lending Activity of Euro Area in pre- and post- 2008 Crisis: A Local-Adaptive-Based Testing of Wavelets. BALT J ECON, 2019, vol. 19, no. 1, p. 155-175. ISSN: 1406-099X.
Detail

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; MALACH, T. Wavelet Co-movement Significance Testing with Respect to Gaussian White Noise Background. In ITM Web of Conferences. ITM Web of Conferences. The 2017 International Conference Applied Mathematics, Computational Science and Systems Engineering. Athens, Greece: Helenic Military Academy, 2018. p. 1-5. ISSN: 2271-2097.
Detail

Responsibility: Dluhá Jitka, doc. RNDr., Ph.D.