scholarly journals Mean and variance equation dynamics: Time deformation, GARCH, and a robust analysis of the London housing market

2017 ◽  
Vol 22 (4) ◽  
pp. 304-318 ◽  
Author(s):  
Steve Cook ◽  
Duncan Watson
Keyword(s):  
Housing Market ◽  
Robust Analysis ◽  
Time Deformation ◽  
Mean And Variance ◽  
Variance Equation

scholarly journals Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets

2018 ◽  
Author(s):  
Yuki Toyoshima
Keyword(s):  
Stock Market ◽  
Housing Market ◽  
Stock Markets ◽  
Causal Relation ◽  
Step Procedure ◽  
Mean And Variance ◽  
The Uk

This paper employs the two-step procedure developed by Cheung and Ng (1996) to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing market to the stock market in the UK, this paper discovered a two-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing market to the stock market.

scholarly journals YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL

2014 ◽  
Vol 09 (01) ◽  
pp. 1450004 ◽  
Author(s):  
NAGARATNAM JEYASREEDHARAN ◽  
DAVID E ALLEN ◽  
JOEY WENLING YANG
Keyword(s):  
Long Memory ◽  
Waiting Times ◽  
Model Specification ◽  
Model Framework ◽  
Proposed Model ◽  
Acd Model ◽  
Mean And Variance ◽  
Variance Equation ◽  
The Mean ◽  
Autoregressive Conditional Duration

This paper features a new autoregressive conditional duration (ACD) model which sits within the theoretical framework provided by the recently developed observation-driven time series models by Creal et al. (2013): the generalized autoregressive score (GAS) models. The autoregressive conditional directional duration (ACDD) model itself contains three novelties. First, durations (intra-trade intervals or waiting-times) are signed, based on whether a (positive) ask-driven trade or a (negative) bid-driven trade occurred. These signed trade-durations are known as directional durations. Second, as the resultant directional durations are no longer positive and asymmetrical but are symmetrically distributed, the familiar generalized autoregressive conditional heteroskedasticity (GARCH)-like formulation of the ACD process is proposed for modeling these directional durations. Consequently, the proposed model is called the ACDD model. Third, using the alternative GARCH-like formulation, persistence or long-memory in the durations is easily addressed both via the mean and variance equations: the mean equation uses a semi-parametric fractional autoregressive (SEMIFAR) formulation and the variance equation uses a GARCH formulation. The paper demonstrates the flexibility and convenience of the generalized autoregressive score (GAS) model framework in the context of a particular ACD model specification. The model can be viewed as an alternative extension of the "asymmetric ACD model" of Bauwens and Giot (2013) which captures information related to the evolution of prices as well as the quote-durations.

Authentication of Digital Image using Exif Metadata and Decoding Properties

2018 ◽  
pp. 335-341 ◽  
Author(s):  
D. P. Gangwar ◽  
Anju Pathania
Keyword(s):  
Digital Image ◽  
Digital Images ◽  
Software Tools ◽  
Robust Analysis

This work presents a robust analysis of digital images to detect the modifications/ morphing/ editing signs by using the image’s exif metadata, thumbnail, camera traces, image markers, Huffman codec and Markers, Compression signatures etc. properties. The details of the whole methodology and findings are described in the present work. The main advantage of the methodology is that the whole analysis has been done by using software/tools which are easily available in open sources.

Minorities in the Contemporary Egyptian Novel

2018 ◽  
Author(s):  
Mary Youssef
Keyword(s):  
Literary History ◽  
First Century ◽  
Nation State ◽  
Colonial Rule ◽  
The Novel ◽  
Robust Analysis ◽  
Specific Approach ◽  
And Gender ◽  
Context Specific ◽  
Historical Moment

This book examines questions of identity, nationalism, and marginalization in the contemporary Egyptian novel from a postcolonial lens. Under colonial rule, the Egyptian novel invoked a sovereign nation-state by basking in its perceived unity. After independence, the novel professed disenchantment with state practices and unequal class and gender relations, without disrupting the nation’s imagined racial and ethno-religious homogeneity. This book identifies a trend in the twenty-first-century Egyptian novel that shatters this singular view, with the rise of a new consciousness that presents Egypt as fundamentally heterogeneous. Through a robust analysis of “new-consciousness” novels by authors like Idris ᶜAli, Bahaᵓ Tahir, Miral al-Tahawi, and Yusuf Zaydan, the author argues that this new consciousness does not only respond to predominant discourses of difference and practices of differentiation along the axes of race, ethno-religion, class, and gender by bringing the experiences of Nubian, Amazigh, Bedouin, Coptic, Jewish, and women minorities to the fore of Egypt’s literary imaginary, but also heralds the cacophony of voices that collectively cried for social justice from Tahrir Square in Egypt’s 2011-uprising. This study responds to the changing iconographic, semiotic, and formal features of the Egyptian novel. It fulfills the critical task of identifying an emergent novelistic genre and develops historically reflexive methodologies that interpret new-consciousness novels and their mediatory role in formalizing and articulating their historical moment. By adopting this context-specific approach to studying novelistic evolution, this book locates some of the strands that have been missing from the complex whole of Egypt’s culture and literary history.

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