Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors

By regarding the Chinese financial and economic sectors as a system, this article studies the stock volatility spillover in the system and explores its effects on the overall performance of the macroeconomy in China. The recent outbreak of COVID-19, U.S.-China trade friction, and three historical financial turbulences are involved to distinguish the changes in the spillover in these distinct crises, which has seldom been unveiled in the literature. By considering that the stock volatility spillover may vary over distinct timescales, the spillovers are disclosed through innovatively constructing the multi-scale spillover networks, followed by connectedness computation, based on variational mode decomposition (VMD) and generalized vector autoregression (GVAR) process. Our empirical analysis first demonstrates the different levels of increases in the total sectoral volatility spillover and changes in the roles of the sectors in the system under the aforementioned crises. Besides, the increases in the sectoral spillover in the long-term are verified to negatively impact the macroeconomy and can thereby act as warning signals.

A Novel Scheme Based on Variational Mode Decomposition and Multiple Denoising Technologies for Heartbeat Rate Estimation

In the face of the serious aging of the global population and the sudden outbreak of COVID-19, monitoring human vital signs such as heart rate is very important to save lives. For more accurate heartbeat detection, we propose a heartbeat detection scheme based on variational mode decomposition (VMD) and multiple technologies of noise and interference suppression. First, a filter is designed to suppress the impulse noise and reduce the loss of useful signal information. Then, VMD is performed to decompose the pre-processed vital signs into a series of intrinsic mode function (IMF) components. Thirdly, much attention is paid on denoising of IMF components corresponding to the heartbeat signals, an improved wavelet threshold denoising method is proposed to process these IMF components and reconstruct the heartbeat signal. Finally, an adaptive notch filter is used to process the residual respiratory harmonics in the reconstructed heartbeat signal. To verify the heartbeat detection accuracy of our method, the results are compared with a reliable reference sensor. Our results show that the mean average absolute error (AAE) of heart rate estimated by the proposed method is 1.06 bpm, which is 7.51 bpm better than the original method. © 2022 IEEE.

Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors

By regarding the Chinese financial and economic sectors as a system, this article studies the stock volatility spillover in the system and explores its effects on the overall performance of the macroeconomy in China. The recent outbreak of COVID-19, U.S.-China trade friction, and three historical financial turbulences are involved to distinguish the changes in the spillover in these distinct crises, which has seldom been unveiled in the literature. By considering that the stock volatility spillover may vary over distinct timescales, the spillovers are disclosed through innovatively constructing the multi-scale spillover networks, followed by connectedness computation, based on variational mode decomposition (VMD) and generalized vector autoregression (GVAR) process. Our empirical analysis first demonstrates the different levels of increases in the total sectoral volatility spillover and changes in the roles of the sectors in the system under the aforementioned crises. Besides, the increases in the sectoral spillover in the long-term are verified to negatively impact the macroeconomy and can thereby act as warning signals. IEEE

Carbon price prediction for China's ETS pilots using variational mode decomposition and optimized extreme learning machine.

With the national goal of "carbon peak by 2030 and carbon neutral by 2060 in China", studies on carbon prices of China's Emissions Trading System (ETS) pilots have shown growing interest in the related fields. Carbon price fluctuations reflect the scarcity of carbon resources, and accurate prediction can improve carbon asset management capabilities. Therefore, in order to clarify the dynamics of carbon markets and assign carbon emissions allocation rationally, we propose a hybrid feature-driven forecasting model with the framework of decomposition-reconstruction-prediction-ensemble. In this paper, the non-stationary, nonlinear and chaotic characteristics of carbon prices in China's ETS pilots have been verified, and then the prediction model is built based on the tested features. Firstly, the original carbon price series are decomposed by Variational Mode Decomposition (VMD), and then reconstructed by Sample Entropy (SE). Next, Extreme Learning Machine (ELM) optimized by Particle Swarm Optimization (PSO) is conducted to predict the subsequences. Lastly, the forecasting series of every subseries are summed to obtain the final results. The empirical results based on carbon prices of China's ETS pilots proved that the proposed model performs more efficiently than the current benchmark models. As carbon prices are expected to increase across all ETS during the post-COVID-19 recovery stage, the new prediction model will be useful for improving the guiding principles of the existing government policies including the likely introductions of Border Carbon Adjustment (BCA) in the EU and the US, and governing the large global public companies to deliver their "net zero" commitments.