Essays about: "Variational mode decomposition"

Found 1 essay containing the words Variational mode decomposition.

  1. 1. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ran Tao; Xin Yuan; [2018]
    Keywords : Time varying copula; Variational mode decomposition; Risk spillovers; CoVaR; delta CoVaR;

    Abstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE