Results 31 to 40 of about 730,832 (262)
Dynamic Correlation Structure; Securities Risk and Return [PDF]
Journal of Asset Management and Financing, 2019 Objective: Modelling dynamic nature of covariance of assets return almost always is a challenging area of finance. Econometrics models just pay attention to variance behavior longitudinally, however, core of numerous finance models need the analysis of ...
Maryam Davallou, marzieh khosravi
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Modeling correlated human dynamics
CoRR, 2010 We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution displays a heavy-tailed nature with power-law exponent dependent on the activity.
Peng Wang +3 more
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The underlying dynamics of credit correlations [PDF]
The Journal of Credit Risk, 2007 We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic Gaussian limit for very long horizons. We introduce the notion of
Arthur M. Berd +2 more
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Dynamically emergent correlations
Europhysics LettersAbstract In this perspective article, we discuss the scenario of dynamically emergent correlation (DEC) arising in classical and quantum noninteracting systems when they are subjected to a common fluctuating stochastic environment. The key property of such systems is that the strong correlations between different particles emerge from
Majumdar, Satya N., Schehr, Gregory
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Multiscale Dynamic Correlation Analysis of Wind-PV Power Station Output Based on TDIC
IEEE Access, 2020 The stochastic characteristics of wind power and photovoltaic (PV) make the resource allocation of power system difficult. Therefore, it is necessary to consider the correlation between the power generation of wind and PV power stations to avoid resource
Min Wang +4 more
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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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What Happened to the CER Market? A Dynamic Linkage Effect Analysis
IEEE Access, 2020 The certified emission reduction (CER) carbon trading market promoted by the clean development mechanism (CDM) has become an important platform for the development of the international carbon market.
Yaqi Wu +5 more
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Dynamic Stock Correlation Network
Procedia Computer Science, 2015 AbstractFinancial markets are the outcome of highly complex interactions among a number of agents. Such a complex system possibly contains all sorts of features, e.g., not only static but also dynamic. Here we study dynamic correlations hidden in the S&P 500 market by adopting a combined method of the Complex Principal Component Analysis (CPCA) and the
Yuta Arai +2 more
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PhotonSTR-18: A LabVIEW toolbox for photon correlation spectroscopy
SoftwareX, 2021 We present PhotonSTR-T18, a LabVIEW based package for the calculation of intensity correlation and structure functions from the measurement of the time of arrival of scattered photons from soft materials.
Carlos A. García-Cadena +2 more
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Dynamical Correlations After a Quantum Quench [PDF]
Physical Review Letters, 2012 6 pages, 3 ...
Fabian H. L. Essler +2 more
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