This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
At present,there are many methods of calculating seismic time-fractal.However,there isn’t aquantitative result about the precision of every method.So,in this Paper,we use the digitalimitation of theoretic model to so...At present,there are many methods of calculating seismic time-fractal.However,there isn’t aquantitative result about the precision of every method.So,in this Paper,we use the digitalimitation of theoretic model to solve precision estimate problems of calculating the precision ofone dimension distribution of theoretic models with Cantor multi-fractal set,we obtained someresults as follows:(1)There exists many problems such as rules,numbers of samples,basicpoint selection,the diffence resulted from different methods and so on.(2)The fixed-massmethod(MAS)and the minimal spanning tree method(MST)can give good structure charac-teristics with different q value,while the counting-boxes method can’t.And the error of thefixed-radius method(RAD)in the range of-q is too big.(3)There are scale problems of rulesfor multi-fractal,it is objective reflection for non-rule area.(4)MST has the boundary prob-lem,while MAS and RAD don’t.(5)With increasing sample number,the precision of allfractal-dimension values展开更多
This paper concerns with a Markov-switching predator-prey model with Allee effect for preys.The conditions under which extinction of predator and prey populations occur have been established.Sufficient conditions are ...This paper concerns with a Markov-switching predator-prey model with Allee effect for preys.The conditions under which extinction of predator and prey populations occur have been established.Sufficient conditions are also given for persistence and global attractivity in mean.In addition,stability in the distribution of the system under con-sideration is derived under some assumptions.Finally,numerical simulations are carried out to illustrate theoretical results.展开更多
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
基金This project was sponsored by the Joint Earthquake Seience Foundaion (92287), China.
文摘At present,there are many methods of calculating seismic time-fractal.However,there isn’t aquantitative result about the precision of every method.So,in this Paper,we use the digitalimitation of theoretic model to solve precision estimate problems of calculating the precision ofone dimension distribution of theoretic models with Cantor multi-fractal set,we obtained someresults as follows:(1)There exists many problems such as rules,numbers of samples,basicpoint selection,the diffence resulted from different methods and so on.(2)The fixed-massmethod(MAS)and the minimal spanning tree method(MST)can give good structure charac-teristics with different q value,while the counting-boxes method can’t.And the error of thefixed-radius method(RAD)in the range of-q is too big.(3)There are scale problems of rulesfor multi-fractal,it is objective reflection for non-rule area.(4)MST has the boundary prob-lem,while MAS and RAD don’t.(5)With increasing sample number,the precision of allfractal-dimension values
基金National Science Foundation of China(11771104)Pro-gram for Chang Jiang Scholars and Innovative Research Team in University(IRT-16R16)the Innovation Research for the postgraduates of Guangzhou University under Grant No.2018GDJC-DO2.
文摘This paper concerns with a Markov-switching predator-prey model with Allee effect for preys.The conditions under which extinction of predator and prey populations occur have been established.Sufficient conditions are also given for persistence and global attractivity in mean.In addition,stability in the distribution of the system under con-sideration is derived under some assumptions.Finally,numerical simulations are carried out to illustrate theoretical results.
