The multivariate nonlinear Granger causality developed by Bai et al. (2010) plays an important role in detecting the dynamic interrelationships between two groups of variables. Following idea Hiemstra-Jones (HJ) test proposed Hiemstra and Jones (1994), they attempt to establish a central limit theorem (CLT) their statistic applying asymptotical property $U$-statistic. However, (2016) revisit HJ find that given is NOT function $U$-statistics which implies CLT neither (1994) nor one extended...

We propose and develop mean-variance-ratio (MVR) statistics for comparing the performance of prospects (e.g., investment portfolios, assets, etc.) after effect background risk has been mitigated. investigate in large small samples show that non-asymptotic framework, MVR statistic produces a uniformly most powerful unbiased (UMPU) test. discuss applicability test case illustrate its superiority by analyzing Korea Singapore stock returns impact American (which we view as risk) deducted. find,...

In this paper, we extend Maslow’s need hierarchy theory and the two-level optimization approach by developing framework of Maslow portfolio selection model (MPSM) solving two problems to meet individuals with low financial sustainability who prefer satisfy their lower-level (safety) first, and, thereafter, look for higher-level (self-actualization) maximize optimal return. We illustrate our proposed real American stock data from S&P index conduct out-of-sample analysis compare...

A lot of work has been done for the effects evaluation electronic equipment due to high-power electromagnetic environments. The focus usually stays on whether occur or not ("1" "0") during tests. However, in addition such kind either-or effects, multilevel happen many practical cases as well. In this paper, we propose a statistical approach effects. By means multinomial regression, occurrence probabilities each level can be estimated simultaneously. Through maximum likelihood estimation...

It is a necessity to evaluate the susceptibility of electronics transient electromagnetic disturbances, such as pulses, lightning, electro-static discharges, and switching pulses. One can conduct experiments on system interest analyze result through statistical inference for relationship between excitations effect phenomena. However, since conventional models are driven by experimental data, it might in inappropriate explanations mechanisms due limited samples, leading over- or...

We propose and develop a mean-variance-ratio (MVR) statistics for comparing the performance of prospects (e.g., investment portfolios, assets, etc.) after effect background risk has been mitigated. investigate in large small samples, show that non-asymptotic framework, MVR statistic produces uniformly most powerful unbiased (UMPU) test. discuss applicability test case samples illustrate its superiority by analyzing Korea Singapore stock returns impact American (which we view as risk)...

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture under some situations, two nearly non-stationary does not have any problem at all. To check whether our holds, set up several situations conduct simulations to justify conjecture. Our show chance regressions being is very high for all cases simulated paper. Nonetheless, other simulation rejection rates are much smaller than 5% level...

This paper presents a novel method, referred to as locally linear detail injection (LLDI), for the pansharpening problem, which is based on assumption that spatial details of each multispectral (MS) band can be and linearly represented by panchromatic images. LLDI first exploits such through scales using modulation transfer function (MTF) MS instrument then performs injections into available low-resolution Visual analysis quantitative evaluation performed QuickBird WorldView-2 data sets at...

Shale transport properties are investigated by numerical simulations of a simple, physics-based continuum model. samples from the Yanchang Triassic Formation in Ordos Basin tested to get pore volume distribution shale. Due existence nanopores shale reservoirs, there great differences gas mechanisms compared those conventional reservoirs. These include Knudsen diffusion and adsorption. A model is utilized simulate channel with nanoscale radius, where these taken into consideration imposing...

In this paper, we define the conditional risk measure under regime switching and derive a class of time consistent multi-period measures. To do so, describe information process with in product space associated two filtrations. Moreover, show how to establish corresponding multi-stage portfolio selection models using for medium-term or long-term investments. Take value-at-risk as an example, demonstrate resulting problem can be transformed into second-order cone programming problem. Finally,...

Inspired by Maslow’s need hierarchy theory, we construct a new portfolio selection framework using the bi-level optimization technique in which lower-level relates to safety (low risk) while upper-level is concerned with self-actualization (high payoff). Specially, consider model variance and conditional value-at-risk associated need, respectively. Accordingly, propose procedure solve this problem without normal distribution assumption. Empirical study on American stock market U.K. shows...

Purpose This paper aims to examine the impact of stock market liberalization on efficiency markets in Latin America. Design/methodology/approach Daily indices from American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad Tobago, are used analysis. To efficiency, authors use several approaches, runs test, Chow–Denning multiple variation ratio Wright variance martingale hypothesis test stochastic dominance (SD) above indices. Findings The find that does not improve...

Literature has found that regression of independent (nearly) nonstationary time series could be spurious. We incorporate this idea to examine whether significant treated as insignificant in some situations. To do so, we conjecture appear cases but it become other cases. check our hold, set up a model which both dependent and variables Yt Xt are the sum two variables, say Yt=Y1,t+Y2,t Xt=X1,t+X2,t, X2,t Y2,t AR(1) such X2,t=α1X2,t−1+εt Y2,t=α2Y2,t−1+et. Following model-setup, design...

The famous Hiemstra-Jones test (HJ test) developed by Hiemstra and Jones plays a significant role in studying nonlinear causality. In the last two decades there are numerous applications theoretical extensions based on this pioneering work. However, several works pointed out that counter-intuitive results obtained from HJ some researchers found is seriously over rejecting through simulation study. paper, we re-investigate HJ's creative work 1994 their proposed estimators of probabilities...

Large scale matrix data has been widely discovered and continuously studied in various fields recently. We propose a multilevel factor model considering the existence of multi level structure time series. This incorporates both global factors influencing all series local confined to impact specific Asymptotic properties are established ensure consistency our procedure for estimating loading matrices. To demonstrate finite-sample performance estimation, we present comprehensive simulation...

The relationship between return and volatility remains a focal point of research interest. In this paper, we study the for SSE series indexes individual companies in Shanghai stock market. Recognizing that Pearson's correlation coefficient falls short capturing nonlinear returns changes Chinese markets, employ generalized measures (GMC) to quantify dynamics these two variables. contrast traditional leverage effect, our observations reveal distinctive patterns. First, find volatility,...

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In the era of intensified volatility domestic and international capital markets, exploring effective factors market information to construct appropriate investment portfolio strategies is great significance control risks obtain stable sustainable excess returns. this study we select performance reports A-share listed stocks from first quarter 2018 2022 as research objects. Taking 1 12 weeks after company's earnings announcement time window, examine post-earnings-announcement drift (PEAD)...

Modern finance theories have been increasingly paying attention to nonlinear and asymmetric features of stock returns. In this paper, we extend the concept covariance generalized by using Generalized Measure Correlation (GMC). Based on which is capable catching nonlinearity asymmetry in (index) returns, propose a mean-generalized variance portfolio selection model considers gross-exposure constraint. Furthermore, corresponding nonparametric estimation approach global optimization algorithm...