Similar Search Results

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

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

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

On the stability analysis of nonlinear systems using polynomial Lyapunov functions

Bouzaouache, Hajer; Braiek, Naceur Benhadj - In: Mathematics and Computers in Simulation (MATCOM) 76 (2008) 5, pp. 316-329

In the stability study of nonlinear systems, not to found feasible solution for the LMI problem associated with a … quadratic Lyapunov function shows that it doesn’t exist positive definite quadratic Lyapunov function that proves stability of … for global asymptotic stability of analytical nonlinear systems are proposed to allow computational implementation. …

Persistent link: https://www.econbiz.de/10010869927

The domain of attraction for the endemic equilibrium of an SIRS epidemic model

Zhang, Zhonghua; Wu, Jianhua; Suo, Yaohong; Song, Xinyu - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 9, pp. 1697-1706

In this paper, a new method is adopted to construct a Lyapunov function for the endemic equilibrium of the J. Mena-Lorca and H.W. Hothcote’s SIRS epidemic model with bilinear incidence and constant recruitment. On the basis of the Lyapunov function, the domain of the attraction of the endemic...

Persistent link: https://www.econbiz.de/10010869930

On stability of a class of neutral type functional differential equations

Arino, Ovide; Nosov, Valery R - In: Mathematics and Computers in Simulation (MATCOM) 45 (1998) 3, pp. 299-307

This paper deals with the study of stability and estimation of stability domain for a class of nonlinear integro …-difference equations, which coincide with special class of neutral type functional differential equations. The new approach for stability …

Persistent link: https://www.econbiz.de/10010869983