Weak Dependence: An Introduction Through Asymmetric ARCH Models

Author(s):  
P. Doukhan ◽  
N. Mtibaa
Keyword(s):  
1992 ◽  
Vol 57 (7) ◽  
pp. 1419-1423
Author(s):  
Jindřich Weiss

New data on critical holdups of dispersed phase were measured at which the phase inversion took place. The systems studied differed in the ratio of phase viscosities and interfacial tension. A weak dependence was found of critical holdups on the impeller revolutions and on the material contactor; on the contrary, a considerable effect of viscosity was found out as far as the viscosity of continuous phase exceeded that of dispersed phase.


2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Hiroyuki Kawakatsu

AbstractThis paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.


2018 ◽  
Vol 46 (1) ◽  
pp. 26-58
Author(s):  
Marie Hušková ◽  
Natalie Neumeyer ◽  
Tobias Niebuhr ◽  
Leonie Selk

2001 ◽  
Vol 34 (12) ◽  
pp. 67-70
Author(s):  
Wolfgang Polasek
Keyword(s):  

2013 ◽  
Vol 42 (1) ◽  
pp. 133-141 ◽  
Author(s):  
Eunju Hwang ◽  
Dong Wan Shin

2008 ◽  
Vol 36 (2) ◽  
pp. 742-786 ◽  
Author(s):  
Piotr Fryzlewicz ◽  
Theofanis Sapatinas ◽  
Suhasini Subba Rao

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