scholarly journals Time- and Quantile-Varying Causality between Investor Attention and Bitcoin Returns: A Rolling-Window Causality-in-Quantiles Approach

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Jianqin Hang ◽  
Xu Zhang
Keyword(s):  
Time Domain ◽  
Time Varying ◽  
Investor Attention ◽  
Causality Test ◽  
Novel Approach ◽  
Rolling Window ◽  
Causality Tests ◽  
High Volatility ◽  
The Time Domain ◽  
Quantile Causality

This study proposes a novel approach that incorporates rolling-window estimation and a quantile causality test. Using this approach, Google Trends and Bitcoin price data are used to empirically investigate the time-varying quantile causality between investor attention and Bitcoin returns. The results show that the parameters of the causality tests are unstable during the sample period. The results also show strong evidence of quantile- and time-varying causality between investor attention and Bitcoin returns. Specifically, our results show that causality appears only in high volatility periods within the time domain, and causality presents various patterns across quantiles within the quantile domain.

TIME VARIATION OR ASYMMETRY? THE INFLATION AND INFLATION UNCERTAINTY NEXUS: A CASE OF CHINA

2020 ◽  
pp. 1-23
Author(s):  
XUE GAO ◽  
YIXIN REN ◽  
XIN LI
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Time Varying ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Nobel Lecture ◽  
Conditional Mean ◽  
Rolling Window ◽  
High Inflation ◽  
Quantile Causality

This investigation tests the dynamic and quantile causality between inflation and inflation uncertainty of China with constructing a rolling-window based quantile causality test. The result shows unidirectional causality from inflation to inflation uncertainty, which is significantly asymmetric and time-varying. Inflation more likely causes inflation uncertainty in higher quantiles, indicating the linear model based on conditional mean may overestimate this impact in a lower quantile interval. Furthermore, the influence also exhibits a consistent time-varying property that cannot be explained simply by the conditional distribution. The causality shows more significance since 2007 when China cancelled the mandatory settlement system, which led to the increase of monetary policy independence. The time-varying nature indicates institutional changes may lead to regime switching of this causality. Our result supports the Friedman–Ball hypothesis [ Friedman, M ( 1977 ). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451–472; Ball, L ( 1992 ). Why does high inflation raise inflation uncertainty? Journal of Monetary Economic, 29(3), 371–388] to a certain extent and implies that the purpose of controlling inflation uncertainty of China can be achieved by controlling inflation if and only if it is relatively high on the premise of the independence of monetary policy.

Excess Volatility in Bitcoin: Extreme Value Volatility Estimation

2021 ◽  
pp. 227797522098768
Author(s):  
Parthajit Kayal ◽  
G. Balasubramanian
Keyword(s):  
Investment Decisions ◽  
Extreme Value ◽  
Time Varying ◽  
Price Changes ◽  
Volatility Estimation ◽  
Policy Choices ◽  
Rolling Window ◽  
Excess Volatility ◽  
High Volatility ◽  
Over Time

This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.

scholarly journals The Symmetric and Asymmetric Time-Varying Causality Relationships Between the COVID-19 Outbreak and the Stock Exchange: The Case of Selected Countries

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 144-170
Author(s):  
Cuma Demirtaş ◽  
Munise Ilıkkan Özgür ◽  
Esra Soyu
Keyword(s):  
Mortality Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Time Varying ◽  
Causality Test ◽  
Causality Tests ◽  
Bed Capacity ◽  
Case Rate ◽  
Asymmetric Causality ◽  
Second Wave

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

scholarly journals Identification of Methamphetamine Abstainers by Resting-State Functional Magnetic Resonance Imaging

2021 ◽  
Vol 12 ◽  
Author(s):  
Tingting Dong ◽  
Qiuping Huang ◽  
Shucai Huang ◽  
Jiang Xin ◽  
Qiaolan Jia ◽  
...  
Keyword(s):  
Magnetic Resonance Imaging ◽  
Magnetic Resonance ◽  
Functional Magnetic Resonance Imaging ◽  
Time Domain ◽  
Resting State ◽  
Time Varying ◽  
Functional Magnetic Resonance ◽  
Resonance Imaging ◽  
Normal People ◽  
The Time Domain

Methamphetamine (MA) can cause brain structural and functional impairment, but there are few studies on whether this difference will sustain on MA abstainers. The purpose of this study is to investigate the correlation of brain networks in MA abstainers. In this study, 47 people detoxified for at least 14 months and 44 normal people took a resting-state functional magnetic resonance imaging (RS-fMRI) scan. A dynamic (i.e., time-varying) functional connectivity (FC) is obtained by applying sliding windows in the time courses on the independent components (ICs). The windowed correlation data for each IC were then clustered by k-means. The number of subjects in each cluster was used as a new feature for individual identification. The results show that the classifier achieved satisfactory performance (82.3% accuracy, 77.7% specificity, and 85.7% sensitivity). We find that there are significant differences in the brain networks of MA abstainers and normal people in the time domain, but the spatial differences are not obvious. Most of the altered functional connections (time-varying) are identified to be located at dorsal default mode network. These results have shown that changes in the correlation of the time domain may play an important role in identifying MA abstainers. Therefore, our findings provide valuable insights in the identification of MA and elucidate the pathological mechanism of MA from a resting-state functional integration point of view.

On Vessel Motion Induced Vortex-Induced Vibrations of a Steel Lazy Wave Riser

2021 ◽  
Author(s):  
Decao Yin
Keyword(s):  
Vortex Shedding ◽  
Time Domain ◽  
Oscillatory Flow ◽  
Domain Model ◽  
Time Varying ◽  
Structure Interaction ◽  
Response Characteristics ◽  
Vortex Induced Vibrations ◽  
The Time Domain ◽  
Vessel Motion

Abstract Deepwater steel lazy wave risers (SLWR) subject to vessel motion will be exposed to time-varying oscillatory flow, vortices could be generated and the cyclic vortex shedding force causes the structure vibrate, such fluid-structure interaction is called vortex-induced vibrations (VIV). To investigate VIV on a riser with non-linear structures under vessel motion and oscillatory flows, time domain approaches are needed. In this study, a time-domain approach is used to simulate a full-scale SLWR. Two cases with simplified riser top motions are simulated numerically. By using default input parameters to the time domain approach, the key oscillatory flow induced VIV response characteristics such as response frequency, curvature and displacements are examined and discussed. More accurate VIV prediction could be achieved by using realistic hydrodynamic inputs into the time domain model.

The Relationship Between R&D Expenditures and Economic Growth ın OECD Countries With Different Causality Tests

2020 ◽  
pp. 107-118
Author(s):  
Gökhan Karhan
Keyword(s):  
Economic Growth ◽  
Research And Development ◽  
Oecd Countries ◽  
Causality Test ◽  
Panel Causality ◽  
Rolling Window ◽  
Causality Tests ◽  
Mathematical Techniques ◽  
Rolling Windows ◽  
The Relationship

In this chapter, the relationship between research and development (R&D) expenditures and economic growth was investigated with both Emirmahmutoğlu and Köse Causality test and the Dimitrescu and Hurlin Panel Causality test based on Rolling Windows Regression for the selected 19 OECD member countries for the period 1996-2015. The results concluded that for all panel there is a causality from economic growth to R&D expenditures. In this study, the relationship between variables was investigated using different mathematical techniques like rolling windows. According to the results of the Dimitrescu and Hurlin Panel Causality Test based on Rolling Window Regression, which is applied differently from other studies in the literature, there was a causality from economic growth to R&D expenditures in 2010. In 2011, there was causality from R&D expenditures to economic growth for all panels.

scholarly journals Temporal design for additive manufacturing

2020 ◽  
Vol 106 (9-10) ◽  
pp. 3849-3857
Author(s):  
S. Saliba ◽  
J. C. Kirkman-Brown ◽  
L. E. J. Thomas-Seale
Keyword(s):  
Additive Manufacturing ◽  
Time Domain ◽  
Processing Parameters ◽  
Software Pipeline ◽  
Novel Approach ◽  
Knowledge Propagation ◽  
End Use ◽  
The Time Domain ◽  
And Control ◽  
Design For Am

AbstractAdditive manufacturing (AM) is expected to generate huge economic revenue by 2025; however, this will only be realised by overcoming the barriers that are preventing its increased adoption to end-use parts. Design for AM (DfAM) is recognised as a multi-faceted problem, exasperated by constraints to creativity, knowledge propagation, insufficiencies in education and a fragmented software pipeline. This study proposes a novel approach to increase the creativity in DfAM. Through comparison between DfAM and in utero human development, the unutilised potential of design through the time domain was identified. Therefore, the aim of the research is to develop a computer-aided manufacturing (CAM) programme to demonstrate design through the time domain, known as Temporal DfAM (TDfAM). This was achieved through a bespoke MATLAB code which applies a linear function to a process parameter, discretised across the additive build. TDfAM was demonstrated through the variation of extrusion speed combined with the infill angle, through the axial and in-plane directions. It is widely accepted in the literature that AM processing parameters change the properties of AM materials. Thus, the application of the TDfAM approach offers the engineer increased creative scope and control, whilst inherently upskilling knowledge, in the design of AM materials.

scholarly journals Frequency and Vibration Characteristics of High-Speed Gear-Rotor-Bearing System with Tooth Root Crack considering Compound Dynamic Backlash

2019 ◽  
Vol 2019 ◽  
pp. 1-19 ◽  
Author(s):  
Jie Liu ◽  
Weiqiang Zhao ◽  
Weiwei Liu
Keyword(s):  
Time Domain ◽  
Crack Depth ◽  
Transmission System ◽  
Gear System ◽  
Time Varying ◽  
Tooth Root ◽  
Meshing Stiffness ◽  
The Time Domain ◽  
Center Distance ◽  
Root Crack

Considering the microstructure of tooth surface and the dynamic characteristics of the vibration responses, a compound dynamic backlash model is employed for the gear transmission system. Based on the fractal theory and dynamic center distance, respectively, the dynamic backlash is presented, and the potential energy method is applied to compute the time-varying meshing stiffness, including the healthy gear system and the crack fault gear system. Then, a 16-DOF coupled lateral-torsional gear-rotor-bearing transmission system with the crack fault is established. The fault characteristics in the time-domain waveform and frequency response and statistics data are described. The effect of crack on the time-varying meshing stiffness is analyzed. The vibration response of three backlash models is compared. The dynamic response of the system is explored with the increase in crack depth in detail. The results show that the fault features of countershaft are more obvious. Obvious fluctuations are presented in the time-domain waveform, and sidebands can be found in the frequency domain responses when the tooth root crack appears. The effect of compound dynamic backlash on the system is more obvious than fixed backlash and backlash with changing center distance. The vibration displacement along meshing direction and dynamic meshing force increases with the increase in crack depth. Backlash and variation of center distance show different tendencies with increasing crack depth under different rotational speeds. Amplitude of the sidebands increases with crack depth increasing. The amplitude of multiplication frequency of rotational frequency has an obvious variation with growing crack depth. The sidebands of the multiplication frequency of meshing frequency show more details on the system with complex backlash and crack fault.

scholarly journals Time-Domain Substructure Transient Vibration Transfer Path Analysis Based on Time-Varying Frequency Response Functions under Operational Excitations

2019 ◽  
Vol 2019 ◽  
pp. 1-16
Author(s):  
Rong He ◽  
Hong Zhou
Keyword(s):  
Path Analysis ◽  
Frequency Response ◽  
Time Domain ◽  
Time Varying ◽  
Response Functions ◽  
Transient Vibration ◽  
Transfer Path ◽  
Time Varying Systems ◽  
Transfer Path Analysis ◽  
The Time Domain

The time-domain substructure inverse matrix method has become a popular method to detect and diagnose problems regarding vehicle noise, vibration, and harshness, especially for those impulse excitations caused by roads. However, owning to its reliance on frequency response functions (FRFs), the approach is effective only for time-invariable linear or weak nonlinear systems. This limitation prevents this method from being applied to a typical vehicle suspension substructure, which shows different nonlinear characteristics under different wheel transient loads. In this study, operational excitation was considered as a key factor and applied to calculate dynamic time-varying FRFs to perform accurate time-domain transient vibration transfer path analysis (TPA). The core idea of this novel method is to divide whole coupled substructural relationships into two parts: one involved time-invariable components; normal FRFs could be obtained through tests directly. The other involved numerical computations of the time-domain operational loads matrix and FRFs matrix in static conditions. This method focused on determining dynamic FRFs affected by operational loads, especially the severe transient ones; these loads are difficult to be considered in other classical TPA approaches, such as operational path analysis with exogenous inputs (OPAX) and operational transfer path analysis (OTPA). Experimental results showed that this new approach could overcome the limitations of the traditional time-domain substructure TPA in terms of its strict requirements within time-invariable systems. This is because in the new method, time-varying FRFs were calculated and used, which could make the FRFs at the system level directly adapt to time-varying systems from time to time. In summary, the modified method extends TPA objects studied in time-invariable systems to time-varying systems and, thus, makes a methodology and application innovation compared to traditional the time-domain substructure TPA.

Does foreign direct investment promote exports in China?

2017 ◽  
Vol 7 (2) ◽  
pp. 185-202 ◽  
Author(s):  
Xin Li ◽  
Hsu Ling Chang ◽  
Chi Wei Su ◽  
Yin Dai
Keyword(s):  
Foreign Direct Investment ◽  
Causal Relationship ◽  
Direct Investment ◽  
Structural Adjustment ◽  
Structural Changes ◽  
Time Varying ◽  
Causality Test ◽  
Full Sample ◽  
Content Type ◽  
Rolling Window

Purpose The purpose of this paper is to investigate the causal link between foreign direct investment (FDI) and exports in China based on the knowledge capital model (KK model, Markusen, 2002). Design/methodology/approach The bootstrap Granger full-sample and sub-sample rolling window causality test is used to determine whether FDI can promote exports. Findings The full-sample causality test indicates no causal relationship from FDI to exports. However, considering structural changes of exports and FDI, the authors’ find that the full-sample test is not reliable. Instead, the authors use the rolling window causality test to revisit the dynamic causal relationship, and the results present significant effects from FDI on exports, mostly around periods in which the proportion of FDI from Hong Kong, Macao and Taiwan is increasing. Specifically, positive impacts of FDI on exports are stronger than the negative impacts in China. Research limitations/implications The findings in this study suggest a significant time-varying nature of the correlation between FDI and exports. The promotion effect of FDI to exports is proved by the rolling window approach; it thus supports the KK model that divides FDI into lateral FDI and vertical FDI and proves that the constitution of FDI is critical to the relationship between FDI and exports. Practical implications China has been facing adjustment of its economic structure in recent years, and in this situation, increasing the proportion of FDI that can bring advanced production function is critical for the industrial structural adjustment. Originality/value This paper uses the bootstrap rolling window causality test to investigate the time-varying nature of the causality between FDI and exports, considering structural changes for the first time. The authors further deepen the previous research and draw a more realistic conclusion.

Sign in / Sign up

Export Citation Format

Share Document