Similar Search Results

Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence

Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 9, pp. 1733-1740

This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of finite-sample statistical inference. Monte Carlo experiments show that, in various circumstances, a mis-specified partial VAR model, which is justified by the existence of a...

Persistent link: https://www.econbiz.de/10010749599

Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2033-2039

This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The ratio is defined as a measure of the magnitude of a permanent shock relative to a transitory shock. According to Monte Carlo experiments conducted in this paper, a high...

Persistent link: https://www.econbiz.de/10010870202

Could the jump diffusion technique enhance the effectiveness of futures hedging models?

Li, Ming-Yuan Leon - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3076-3088

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for futures and spot returns is controlled by a state-varying mechanism is introduced and used to design a state-varying stock index futures hedge ratio. Additionally, a conventional random-variance framework,...

Persistent link: https://www.econbiz.de/10010870242

Do exchange rates affect consumer prices? A comparative analysis for Australia, China and India

Saha, Shrabani; Zhang, Zhaoyong - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 128-138

An important issue for exchange rate pass-through (ERPT) is the extent to which exchange rate changes affect the prices of imported goods and the consumer prices. The objectives of this study are to make a comparative study by exploring the literature relating pass-through for import prices and...

Persistent link: https://www.econbiz.de/10010870232

Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 155-171

The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share...

Persistent link: https://www.econbiz.de/10010748770

Stability analysis of equilibria in a delay differentialequations model of CML including asymmetric division and treatment

Halanay, A.; Cândea, D.; Rădulescu, I.R. - In: Mathematics and Computers in Simulation (MATCOM) 110 (2015) C, pp. 69-82

Chronic Myelogenous Leukemia under treatment is considered. Stability of equilibria is investigated and emergence of periodic …

Persistent link: https://www.econbiz.de/10011264181

Trapezoidal methods for fractional differential equations: Theoretical and computational aspects

Garrappa, Roberto - In: Mathematics and Computers in Simulation (MATCOM) 110 (2015) C, pp. 96-112

The paper describes different approaches to generalize the trapezoidal method to fractional differential equations. We analyze the main theoretical properties and we discuss computational aspects to implement efficient algorithms. Numerical experiments are provided to illustrate potential and...

Persistent link: https://www.econbiz.de/10011264185

Stability and bifurcation analysis for a model of a nonlinear coupled pitch–roll ship

Zhou, Liangqiang; Chen, Fangqi - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 2, pp. 149-166

Using a combination of analytical and numerical methods, the paper studies the stability and bifurcations for a model … eigenvalues, respectively. For each case, the stability regions for the initial equilibrium solution and the critical bifurcation … stability conditions are also investigated. Some new dynamical behaviors are presented for this system. …

Persistent link: https://www.econbiz.de/10010749623

A discrete model of competition

Liu, Pingzhou; Cui, Xiaoying - In: Mathematics and Computers in Simulation (MATCOM) 49 (1999) 1, pp. 1-12

Sufficient conditions are derived for the global asymptotic stability of the positive equilibrium of the coupled system …. The conditions obtained are the same as in the continuous case which are sufficient for the globally asymptotic stability …

Persistent link: https://www.econbiz.de/10010749678

Global stability of a two-stage epidemic model with generalized non-linear incidence

Moghadas, S.M.; Gumel, A.B. - In: Mathematics and Computers in Simulation (MATCOM) 60 (2002) 1, pp. 107-118

state. A global stability of the model reveals that the disease-free equilibrium is globally asymptotically stable (and …

Persistent link: https://www.econbiz.de/10010749762