scholarly journals Shape-shift contagion in emerging markets equities: evidence from frequency- and time-domain analysis

2020 ◽  
Vol 9 (3) ◽  
pp. 146-156
Author(s):  
Peterson Owusu Junior ◽  
Imhotep Alagidede ◽  
George Tweneboah

We explore interdependence and contagion in the top 9 emerging markets and the US equities using a novel time-varying GLD-based Baruník & Křehlík (2018) (BK18) spillover technique. The GLD accounts for the extreme returns while the BK18 capture the nonlinear, nonstationary, asymmetric, and time-dependent comovements in higher moments. We find dominance of some emerging markets instead of the US in the frequency-dependent spillovers. We also establish shape shift-contagion in emerging markets equities in the short-term. Our results shed new light on the sources of connectedness and contagion through the shape parameters of equity returns.

2017 ◽  
Vol 56 (2) ◽  
pp. 134-162
Author(s):  
Rakesh Gupta ◽  
Junhao Yang ◽  
Thadavillil Jithendranathan
Keyword(s):  

1992 ◽  
Vol 114 (3) ◽  
pp. 175-184 ◽  
Author(s):  
Y. Li ◽  
A. Kareem

The wave forces computed at the displaced position of offshore structures may introduce additional drift forces. This contribution is particularly significant for compliant offshore structures that are configured by design to experience large excursions under the environmental load effects, e.g., tension leg platform. In a random sea environment, this feature can be included in the time domain analysis by synthesizing drag and diffraction forces through a summation of a large number of harmonics with an appropriate phase relationship that reflects the platform displaced position. This approach is not only limited to the time domain analysis, but the superposition of a large number of trigonometric terms in such an analysis requires a considerable computational effort. This paper presents a computationally efficient procedure in both the time and frequency domains that permits inclusion of the time-dependent drift forces, introduced by the platform displacement, in terms of linear and nonlinear feedback contributions. These time-dependent feedback forces are expressed in terms of the applied wave loads by linear and quadratic transformations. It is demonstrated that the results obtained by this approach exhibit good agreement with the procedure based on the summation of trigonometric functions.


2021 ◽  
Vol 5 (Supplement_2) ◽  
pp. 118-118
Author(s):  
Nan Dou ◽  
Muzi Na

Abstract Objectives Food insecurity (FI) is prevalent among low-income adults and is related to increased stress. Heart rate variability (HRV) is associated with adverse health and a known indicator for stress vulnerability. However, the relationship between FI and HRV is unclear. Our study aims to study the associations between FI and ultra-short-term HRV (5 minutes) at daily basis. Methods A total of 22 healthy low-income adults were recruited in fall 2019 and 18 were followed up in winter 2020. Data on FI and HRV were collected over a 3-week-long wave in each surveyed month (2nd – 4th week). Daily FI was assessed using the adapted USDA adult module on the provided smartphones. Each day, a 5-minute heart rate was recorded using the Polar H7 sensor, yielding a number of HRV metrics in two domains. SDNN, Rmssd, and pNN50 are time-domain metrics quantifying the amount of variability in interbeat interval (the higher the ‘better’). LF/HF Ratio is a frequency-domain metrics estimating the distribution of power into frequency bands (the lower the ‘better’). The Time Varying Effect Models were used to estimate the association between daily FI and ultra-short-term HRV metrics as a function of study day. Results A total of 606 person-days (response rate = 72.1%) of data in FI and HRV was collected. In fall, higher FI score was significantly associated with lower lnRmssd at day 19 (b = −0.13) and 20 (b = −0.12), lower Pnn50 at day 20 (b = −0.13), and higher LF/HF ratio from day 1 to 5 (b ranges 0.29–0.88). In winter, higher FI score was related to lower lnRmssd at day 18 (b = −0.24) and 19 (b = −0.27), lower Pnn50 from day 17 to 19 (b ranges −10.99 to −7.79), and higher LF/HF ratio from day 9 to 11 (b ranges 0.78–1.22) and day 18 to 20 (b ranges 1.17–2.40). Conclusions Across the 2 months spanning two seasons, our pilot study found that daily FI was significantly and consistently associated with suboptimal time-domain HRV metrics in the last few days of the study months. Results for the frequency-domain also support a time-varying impact of FI on HRV. The preliminary results support a potential more profound impact of FI on stress vulnerability, particularly by the end of the months. Funding Sources The National Center for Advancing Translational Sciences, National Institutes of Health (UL1TR002014) and the Broadhurst Career Development Professorship for the Study of Health Promotion and Disease Prevention.


Author(s):  
Rodrigo C. da Costa ◽  
Luis. V. S. Sagrilo

This paper addresses the statistical uncertainty in long-term fatigue damage in offshore structures due to the short-term simulation length used in time domain analysis of stresses. The paper focuses on steel risers applications. A new simulation-based estimator for the variance of the short-term fatigue damage is presented. The proposed estimator is based on a variation of the original nonparametric bootstrap. It works with blocks of data instead of discrete values, in order to better account for the autocorrelation of the stress cycles in the stress time series. This versatile estimator can be applied in time-domain fatigue analyses to assess the variance of the fatigue damage using a single stress time series and does not require any previous assumptions on the stochastic stress process.


1993 ◽  
Vol 3 (3) ◽  
pp. 581-591 ◽  
Author(s):  
Wojciech Gwarek ◽  
Malgorzata Celuch-Marcysiak

2017 ◽  
Vol 109 (6) ◽  
pp. 3307-3317
Author(s):  
Afshin Hatami ◽  
Rakesh Pathak ◽  
Shri Bhide

Sign in / Sign up

Export Citation Format

Share Document