In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollersl...In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollerslev (J. Econometrics 31(1986), 307-327) to the multivariate case is proposed. The conditions for the existence of strictly stationary and ergodic solutions and the existence of higher-order moments for this class of parametric models are derived.展开更多
We study and derive the energy conditions in generalized non-local gravity, which is the modified theory of general relativity obtained by adding a term m2n-2R□-nRto the Einstein-Hilbert action. Moreover, to obtain s...We study and derive the energy conditions in generalized non-local gravity, which is the modified theory of general relativity obtained by adding a term m2n-2R□-nRto the Einstein-Hilbert action. Moreover, to obtain some insight on the meaning of the energy conditions, we illustrate the evolutions of four energy conditions with the model parameter ε for different n. By analysis we give the constraints on the model parameters ε.展开更多
The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized a...The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China＇s trade- weighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China＇s gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.展开更多
文摘In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollerslev (J. Econometrics 31(1986), 307-327) to the multivariate case is proposed. The conditions for the existence of strictly stationary and ergodic solutions and the existence of higher-order moments for this class of parametric models are derived.
基金Supported by the National Natural Science Foundation of China under Grant Nos 11175077 and 11575075the Natural Science Foundation of Liaoning Province under Grant No L201683666
文摘We study and derive the energy conditions in generalized non-local gravity, which is the modified theory of general relativity obtained by adding a term m2n-2R□-nRto the Einstein-Hilbert action. Moreover, to obtain some insight on the meaning of the energy conditions, we illustrate the evolutions of four energy conditions with the model parameter ε for different n. By analysis we give the constraints on the model parameters ε.
文摘The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China＇s trade- weighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China＇s gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.
