Results 11 to 20 of about 41,020 (169)
Spatial effects in dynamic conditional correlations [PDF]
Journal of Applied Statistics, 2015 The recent literature on time series has developed a lot of models for the analysis of the dynamic conditional correlation, involving the same variable observed in different locations; very often, in this framework, the consideration of the spatial interactions is omitted.
OTRANTO, Edoardo +2 more
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Dynamic correlation length scales under isochronal conditions [PDF]
The Journal of Chemical Physics, 2015 The origin of the dramatic changes in the behavior of liquids as they approach their vitreous state—increases of many orders of magnitude in dynamic time scales and transport properties—is a major unsolved problem in condensed matter. These changes are accompanied by greater dynamic heterogeneity, which refers to both spatial variation and spatial ...
Casalini, R. +2 more
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Mathematics, 2021 Since the launch of Bitcoin, there has been a lot of controversy surrounding what asset class it is. Several authors recognize the potential of cryptocurrencies but also certain deviations with respect to the functions of a conventional currency. Instead,
Ángeles Cebrián-Hernández +1 more
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Dynamic Conditional Correlation with Elliptical Distributions [PDF]
SSRN Electronic Journal, 2004 The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional distributions and apply di erent leptokurtic DCC models to the ...
Matteo Pelagatti, Stefania Rondena
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IEEE Access, 2020 The estimation of the large and high-dimensional covariance matrix and precision matrix is a fundamental problem in modern multivariate analysis. It has been widely applied in economics, finance, biology, social networks and health sciences. However, the
Xin Yuan +3 more
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Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility
International Journal of Financial Studies, 2018 This study investigates the impact of commodity price volatility (including soft commodities, precious metals, industrial metals, and energy) on the dynamics of corporate sukuk returns.
Nader Naifar
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ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS [PDF]
Econometric Theory, 2014 We provide conditions for the existence and the uniqueness of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie’s (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains.
Jean-David Fermanian, Hassan Malongo
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Analysis of Performance Deviation of Wind Power Enterprises in China
Frontiers in Energy Research, 2020 Considering increased global emphasis on energy security, low-carbon economy and environmental governance, the proportion of renewable energy will increase in national power grid systems.
Tao Zhang, Xin Qi
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WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS [PDF]
Econometric Theory, 2016 The properties of dynamic conditional correlation (DCC) models, introduced more than a decade ago, are still not entirely known. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a diffusion matrix of reduced ...
Hafner, Christian M +2 more
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Correlated Electron-Nuclear Dynamics with Conditional Wave Functions [PDF]
Physical Review Letters, 2014 The molecular Schr dinger equation is rewritten in terms of non-unitary equations of motion for the nuclei (or electrons) that depend parametrically on the configuration of an ensemble of generally defined electronic (or nuclear) trajectories. This scheme is exact and does not rely on the tracing-out of degrees of freedom. Hence, the use of trajectory-
Guillermo Albareda +4 more
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