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Structural Dynamic Conditional Correlation [PDF]
, 2008 In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model.
Enzo Weber
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Dynamic correlations in stochastic rotation dynamics [PDF]
Physical Review E, 2006 The dynamic structure factor, vorticity and entropy density dynamic correlation functions are measured for Stochastic Rotation Dynamics (SRD), a particle based algorithm for fluctuating fluids. This allows us to obtain unbiased values for the longitudinal transport coefficients such as thermal diffusivity and bulk viscosity.
Tuzel, Erkan +2 more
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The Dynamic Correlations Between Mass Media News and New Media News in Stock Market
Frontiers in Physics, 2020 In this paper, we examine the dynamic correlations between mass-media news and new-media news as well as their reprints in the Chinese stock market. We mainly find that: (1) there is a significant positive correlation between the four types of news and ...
Zuochao Zhang, Yongjie Zhang, Dehua Shen
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Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?
Frontiers in Public Health, 2021 The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures.
Yinpeng Zhang, Panpan Zhu, Yingying Xu
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Pooling Dynamic Conditional Correlation Models [PDF]
SSRN Electronic Journal, 2021 The Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the time-varying dependence of asset returns. However, applications to large cross-sections have been found to be problematic, due to the curse of dimensionality. We propose a novel DCC model with Conditional LInear Pooling (CLIP-DCC) which
van Os, Bram, van Dijk, Dick
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Implied basket correlation dynamics [PDF]
Statistics & Risk Modeling, 2016 Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”.
Wolfgang Karl Härdle, Elena Silyakova
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Dynamical Correlations near Dislocation Jamming [PDF]
Physical Review Letters, 2010 4 pages, 5 ...
Laurson, L., Miguel, M.C., Alava, M.J.
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Generalized correlation for biomolecular dynamics [PDF]
Proteins: Structure, Function, and Bioinformatics, 2005 AbstractCorrelated motions in biomolecules are often essential for their function, e.g., allosteric signal transduction or mechanical/thermodynamic energy transport. Because correlated motions in biomolecules remain difficult to access experimentally, molecular dynamics (MD) simulations are particular useful for their analysis.
Lange, O., Grubmueller, H.
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Projected Dynamic Conditional Correlations
International Journal of Forecasting, 2020 We propose a novel specification of the Dynamic Conditional Correlation (DCC) model based on an alternative normalization of the pseudo-correlation matrix called Projected DCC (Pro-DCC). Our modification consists in projecting, rather than rescaling, the pseudo-correlation matrix onto the set of correlation matrices in order to obtain a well defined ...
Llorens-Terrazas J., Brownlees C.
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Quantification of spatial intensity correlations and photodetector intensity fluctuations of coherent light reflected from turbid particle suspensions [PDF]
, 2007 We present a model for predicting the spatial intensity correlation function of dynamic speckle patterns formed by light backscattered from turbid suspensions, and an experimental validation of these predictions. The spatial correlation varies remarkably
Leeuwen, Ton G. van +3 more
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