scholarly journals On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1859
Author(s):  
Jong-Min Kim ◽  
Seong-Tae Kim ◽  
Sangjin Kim
Keyword(s):  
Gold Price ◽  
Gaussian Copula ◽  
Time Varying ◽  
Conditional Correlation ◽  
Copula Models ◽  
Marginal Regression ◽  
High Volatility ◽  
Asymmetric Garch ◽  
Relationship Of ◽  
The Relationship

This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Under the high volatility financial situation such as the COVID-19 pandemic occurrence, there exist a computation difficulty to use the traditional DCC method to the selected cryptocurrencies. To solve this limitation, GC-DCC and GCNA-DCC are applied to investigate the time-varying relationship among Bitcoin, Gold, and S&P 500. In terms of log-likelihood, we show that GC-DCC and GCNA-DCC are better models than DCC and NA-DCC to show relationship of Bitcoin with Gold and S&P 500. We also consider the relationships among time-varying conditional correlation with Bitcoin volatility, and S&P 500 volatility by a Gaussian Copula Marginal Regression (GCMR) model. The empirical findings show that S&P 500 and Gold price are statistically significant to Bitcoin in terms of log-return and volatility.

scholarly journals Eosinophil count and mortality risk in incident hemodialysis patients

2020 ◽  
Vol 35 (6) ◽  
pp. 1032-1042
Author(s):  
Duk-Hee Kang ◽  
Yuji Lee ◽  
Carola Ellen Kleine ◽  
Yong Kyu Lee ◽  
Christina Park ◽  
...  
Keyword(s):  
Mortality Risk ◽  
Eosinophil Count ◽  
Proportional Hazards ◽  
Cox Proportional Hazards ◽  
Time Varying ◽  
Cox Proportional Hazards Models ◽  
Lower Baseline ◽  
All Cause Mortality ◽  
Relationship Of ◽  
The Relationship

Abstract Background Eosinophils are traditionally known as moderators of allergic reactions; however, they have now emerged as one of the principal immune-regulating cells as well as predictors of vascular disease and mortality in the general population. Although eosinophilia has been demonstrated in hemodialysis (HD) patients, associations of eosinophil count (EOC) and its changes with mortality in HD patients are still unknown. Methods In 107 506 incident HD patients treated by a large dialysis organization during 2007–11, we examined the relationships of baseline and time-varying EOC and its changes (ΔEOC) over the first 3 months with all-cause mortality using Cox proportional hazards models with three levels of hierarchical adjustment. Results Baseline median EOC was 231 (interquartile range 155–339) cells/μL and eosinophilia (>350 cells/μL) was observed in 23.4% of patients. There was a gradual increase in EOC over time after HD initiation with a median ΔEOC of 5.1 (IQR −53–199) cells/μL, which did not parallel the changes in white blood cell count. In fully adjusted models, mortality risk was highest in subjects with lower baseline and time-varying EOC (<100 cells/μL) and was also slightly higher in patients with higher levels (≥550 cells/μL), resulting in a reverse J-shaped relationship. The relationship of ΔEOC with all-cause mortality risk was also a reverse J-shape where both an increase and decrease exhibited a higher mortality risk. Conclusions Both lower and higher EOCs and changes in EOC over the first 3 months after HD initiation were associated with higher all-cause mortality in incident HD patients.

DCC Analysis of the Two Stock Market Returns by a Threshold Model: Empirical Study of the Stock Markets in Japan and Canada

2012 ◽  
Vol 468-471 ◽  
pp. 181-185
Author(s):  
Wann Jyi Horng ◽  
Tien Chung Hu ◽  
Ming Chi Huang
Keyword(s):  
Stock Market ◽  
Empirical Result ◽  
Stock Markets ◽  
Threshold Model ◽  
Conditional Correlation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetrical Effect ◽  
Relationship Of ◽  
The Relationship

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan’s and the Canada’s stock markets. The empirical result also indicates that the Japan and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.2514, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Japan’s and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Japan’s and the Canada’s stock market returns also receives the influence of the good and bad news, respectively.

scholarly journals Dependence Modelling using GARCH, EGARCH, and Copula Models:

2018 ◽  
Vol 2 (2) ◽  
pp. 55-59
Author(s):  
Nurul Hanis Aminuddin Jafry ◽  
Ruzanna Ab Razak ◽  
Noriszura Ismail
Keyword(s):  
Gaussian Copula ◽  
Dependence Structure ◽  
Time Varying ◽  
Strongly Correlated ◽  
Copula Models ◽  
Egarch Model ◽  
Copula Approach ◽  
Model Finding ◽  
Dependence Modelling ◽  
The Impact

Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model. This study also investigates the dependency of Islamic-conventional pair for Malaysia indices by using static copula and time-varying copula approach. The closing prices of Malaysia indices represented by KLCI (conventional) index and FBMHS (Islamic) index for the period of 21 May 2007 until 28 September 2018 are used as a sample data. The results show that KLCI-FBMHS pair is strongly correlated, different input models (ARMA-GARCH and ARMA-EGARCH) have identical dependence structure but slightly different value of parameter estimated, and the time-varying Gaussian copula is chosen as the best dependence model. Finding suggest that the diversification between Islamic-conventional pair is worthwhile during stable period.  

scholarly journals The relationship of various measures of end-systole to left ventricular maximum time-varying elastance in man.

Circulation ◽  
1987 ◽  
Vol 76 (1) ◽  
pp. 32-43 ◽  
Author(s):  
M R Starling ◽  
R A Walsh ◽  
L J Dell'Italia ◽  
G B Mancini ◽  
J C Lasher ◽  
...  
Keyword(s):  
Left Ventricular ◽  
Time Varying ◽  
Maximum Time ◽  
Relationship Of ◽  
The Relationship

scholarly journals Red blood cell distribution width and mortality and hospitalizations in peritoneal dialysis patients

2018 ◽  
Vol 34 (12) ◽  
pp. 2111-2118 ◽  
Author(s):  
Melissa Soohoo ◽  
Miklos Z Molnar ◽  
Akos Ujszaszi ◽  
Yoshitsugu Obi ◽  
Csaba P Kovesdy ◽  
...  
Keyword(s):  
Peritoneal Dialysis ◽  
Hospitalization Rate ◽  
Sensitivity Analyses ◽  
Time Varying ◽  
Cell Distribution ◽  
Distribution Width ◽  
Risk Of Mortality ◽  
Relationship Of ◽  
The Relationship ◽  
Red Blood Cell Distribution

Abstract Background Red blood cell distribution width (RDW) is found to be associated with different types of anemia and has recently been studied as a prognostic marker of mortality in hemodialysis patients. However, the relationship of RDW with mortality and hospitalization rate in peritoneal dialysis (PD) patients is less known. Methods Among 14 323 incident PD patients between 2007 and 2011 in the USA, we examined the relationship of baseline and time-varying RDW with the risk of mortality and time to first hospitalization using adjusted Cox models. In addition, we examined the relationship of baseline RDW and hospitalization rate using an adjusted negative-binomial regression model. Sensitivity analyses included competing risk models and subgroup analyses. Results The study population comprised patients 56 ± 16 years of age, including 43% females, 23% African Americans and 62% diabetics, with a mean RDW of 15.3 ± 1.6%. In models adjusted for clinical characteristics and laboratory parameters, RDW exhibited an incremental relationship with the mortality risk, where RDW ≥16.5% had a 40% and 69% higher risk of death in baseline and time-varying analyses, respectively, compared with an RDW of 14.5–15.5%. Moreover, higher baseline RDW ≥16.5% was also associated with a higher risk of time to first hospitalization {hazard ratio 1.22 [95% confidence interval (CI) 1.14–1.29]} and a higher rate of hospitalizations [incidence rate ratio 1.16 (95% CI 1.09–1.23)]. These results were consistent across numerous sensitivity analyses. Conclusions Higher RDW is associated with a higher risk of mortality and hospitalizations among incident PD patients. Further studies are needed to examine the mechanism behind RDW and adverse outcomes.

scholarly journals Analysis of Tail Dependence between Sovereign Debt Distress and Bank Non-Performing Loans

2020 ◽  
Vol 12 (2) ◽  
pp. 747
Author(s):  
Li Liu ◽  
Yu-Min Liu ◽  
Jong-Min Kim ◽  
Rui Zhong ◽  
Guang-Qian Ren
Keyword(s):  
Sovereign Debt ◽  
Tail Dependence ◽  
Bank Loan ◽  
Gaussian Copula ◽  
Dependence Structure ◽  
Financial Policy ◽  
Copula Models ◽  
Marginal Regression ◽  
Fiscal Distress ◽  
Shed Light

We investigate the tail dependence between sovereign debt distress and bank non-performing loans (NPLs) using a large sample of developed and emerging countries in recent decades. Considering the feedback loop of sovereign debt and bank loan distress, we use three copula models to analyze the asymmetry of tail dependence structure between sovereign debt exposure and bank NPLs. We use the Gaussian copula marginal regression to control the concurrent impact of other macroeconomic variables. We provide evidence that sovereign debt indicates an important determinant of NPLs. We also find that there is tail dependence between sovereign debt distress and bank NPLs, whereas the tail dependence coefficients vary across countries. Our findings shed light on the influence of fiscal distress on bank loan distress and provide immediate implications for the design of macro prudential and financial policy.

A Model of Threshold for the Two Stock Market Returns: Study of the Stock Markets in Switzerland and Canada

2011 ◽  
Vol 403-408 ◽  
pp. 1228-1232
Author(s):  
Wann Jyi Horng ◽  
Ju Lan Tsai
Keyword(s):  
Stock Market ◽  
Empirical Result ◽  
Stock Markets ◽  
Bad News ◽  
Conditional Correlation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetrical Effect ◽  
Relationship Of ◽  
The Relationship

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the Switzerland’s and the Canada’s stock markets. The empirical result also indicates that the Switzerland. and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4685, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Switzerland and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Switzerland and the Canada’s stock market returns also receives the influence of the good and bad news.

The relationship of the scleractinian corals to the rugose corals

Paleobiology ◽  
1980 ◽  
Vol 6 (02) ◽  
pp. 146-160 ◽  
Author(s):  
William A. Oliver
Keyword(s):  
Critical Points ◽  
Scleractinian Corals ◽  
Convincing Evidence ◽  
Early Triassic ◽  
Rugose Corals ◽  
History Of ◽  
The Subject ◽  
Relationship Of ◽  
The Relationship ◽  
Biologic Factors

The Mesozoic-Cenozoic coral Order Scleractinia has been suggested to have originated or evolved (1) by direct descent from the Paleozoic Order Rugosa or (2) by the development of a skeleton in members of one of the anemone groups that probably have existed throughout Phanerozoic time. In spite of much work on the subject, advocates of the direct descent hypothesis have failed to find convincing evidence of this relationship. Critical points are:(1) Rugosan septal insertion is serial; Scleractinian insertion is cyclic; no intermediate stages have been demonstrated. Apparent intermediates are Scleractinia having bilateral cyclic insertion or teratological Rugosa.(2) There is convincing evidence that the skeletons of many Rugosa were calcitic and none are known to be or to have been aragonitic. In contrast, the skeletons of all living Scleractinia are aragonitic and there is evidence that fossil Scleractinia were aragonitic also. The mineralogic difference is almost certainly due to intrinsic biologic factors.(3) No early Triassic corals of either group are known. This fact is not compelling (by itself) but is important in connection with points 1 and 2, because, given direct descent, both changes took place during this only stage in the history of the two groups in which there are no known corals.

Skeletal elements of crinoid echinoderms: High-resolution structural and microanalytical results

1983 ◽  
Vol 41 ◽  
pp. 194-195
Author(s):  
D. F. Blake ◽  
L. F. Allard ◽  
D. R. Peacor
Keyword(s):  
High Resolution ◽  
Marine Invertebrates ◽  
Sea Urchins ◽  
Structural Features ◽  
Sea Stars ◽  
High Resolution Tem ◽  
Relationship Of ◽  
The Relationship ◽  
Insight Into

Echinodermata is a phylum of marine invertebrates which has been extant since Cambrian time (c.a. 500 m.y. before the present). Modern examples of echinoderms include sea urchins, sea stars, and sea lilies (crinoids). The endoskeletons of echinoderms are composed of plates or ossicles (Fig. 1) which are with few exceptions, porous, single crystals of high-magnesian calcite. Despite their single crystal nature, fracture surfaces do not exhibit the near-perfect {10.4} cleavage characteristic of inorganic calcite. This paradoxical mix of biogenic and inorganic features has prompted much recent work on echinoderm skeletal crystallography. Furthermore, fossil echinoderm hard parts comprise a volumetrically significant portion of some marine limestones sequences. The ultrastructural and microchemical characterization of modern skeletal material should lend insight into: 1). The nature of the biogenic processes involved, for example, the relationship of Mg heterogeneity to morphological and structural features in modern echinoderm material, and 2). The nature of the diagenetic changes undergone by their ancient, fossilized counterparts. In this study, high resolution TEM (HRTEM), high voltage TEM (HVTEM), and STEM microanalysis are used to characterize tha ultrastructural and microchemical composition of skeletal elements of the modern crinoid Neocrinus blakei.

Studies on Leukemogenic and Sarcomagenic Viruses

1970 ◽  
Vol 28 ◽  
pp. 156-157
Author(s):  
Leon Dmochowski
Keyword(s):  
Electron Microscopy ◽  
Electron Microscope ◽  
Morphological Properties ◽  
Mode Of Development ◽  
Relationship Of ◽  
The Relationship

Electron microscopy has proved to be an invaluable discipline in studies on the relationship of viruses to the origin of leukemia, sarcoma, and other types of tumors in animals and man. The successful cell-free transmission of leukemia and sarcoma in mice, rats, hamsters, and cats, interpreted as due to a virus or viruses, was proved to be due to a virus on the basis of electron microscope studies. These studies demonstrated that all the types of neoplasia in animals of the species examined are produced by a virus of certain characteristic morphological properties similar, if not identical, in the mode of development in all types of neoplasia in animals, as shown in Fig. 1.

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