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Academic literature on the topic 'Asymmetric dependence'

Author: Grafiati

Published: 4 June 2021

Last updated: 5 February 2022

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Journal articles on the topic "Asymmetric dependence"

1

Okimoto, Tatsuyoshi. "New Evidence of Asymmetric Dependence Structures in International Equity Markets." Journal of Financial and Quantitative Analysis 43, no. 3 (September 2008): 787–815. http://dx.doi.org/10.1017/s0022109000004294.

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AbstractA number of recent studies finds two asymmetries in dependence structures in international equity markets; specifically, dependence tends to be high in both highly volatile markets and in bear markets. In this paper, a further investigation of asymmetric dependence structures in international equity markets is performed by using the Markov switching model and copula theory. Combining these two theories enables me to model dependence structures with sufficient flexibility. Using this flexible framework, I indeed find that there are two distinct regimes in the U. S.-U. K. market. I also show that for the U. S.-U. K. market the bear regime is better described by an asymmetric copula with lower tail dependence with clear rejection of the Markov switching multivariate normal model. In addition, I show that ignorance of this further asymmetry in bear markets is very costly for risk management. Lastly, I conduct a similar analysis for other G7 countries, where I find other cases in which the use of a Markov switching multivariate normal model would be inappropriate.

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Saha, K., and C. J. Jog. "Asymmetric Warps in Disk Galaxies: Dependence on Dark Matter Halo." Proceedings of the International Astronomical Union 2, S235 (August 2006): 113. http://dx.doi.org/10.1017/s174392130600545x.

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AbstractRecent observations have shown that most of the warps in the disk galaxies are asymmetric. However there exists no generic mechanism to generate these asymmetries in warps. We have shown that a rich variety of possible asymmetries in the z-distribution of the spiral galaxies can naturally arise due to a dynamical wave interference between the first two bending modes i.e. bowl-shaped mode(m=0) and S-shaped warping mode(m = 1) in the galactic disk embedded in a dark matter halo. We show that the asymmetric warps are more pronounced when the dark matter content within the optical disk is lower as in early-type galaxies.

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Wu, Kuo-Ming, Chao-Hsien Huang, Deng-Shiang Shiu, Yun Hong, Kao-Fan Lai, Jong-Ching Wu, and Lance Horng. "Vortex Annihilation Dependence of Chirality in Asymmetric Permalloy Dots." SPIN 09, no. 01 (March 2019): 1950001. http://dx.doi.org/10.1142/s2010324719500012.

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Geometric asymmetry effect on vortex annihilation was investigated in series of submicro-scaled permalloy dots. By introducing the one-side-flat asymmetric shape into circular magnetic disks, the original degenerate signals of vortex annihilation for different chirality are separated into two different trajectories, where the asymmetry level is quantified by an excised angle. The separation of annihilation field for clockwise and counterclockwise vortex shows as a function of the excised angle. The asymmetry influence on the separation of annihilation field is discussed from the view of disk aspect ratio and flat boundary effect. Comparison of experimental results with numerical simulations is also presented.

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Kim, Jong-Min, and Hojin Jung. "Can asymmetric conditional volatility imply asymmetric tail dependence?" Economic Modelling 64 (August 2017): 409–18. http://dx.doi.org/10.1016/j.econmod.2017.02.002.

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Patton, Andrew J. "MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*." International Economic Review 47, no. 2 (May 2006): 527–56. http://dx.doi.org/10.1111/j.1468-2354.2006.00387.x.

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Mendola, Joseph. "A Dilemma for Asymmetric Dependence." Nous 37, no. 2 (June 2003): 232–57. http://dx.doi.org/10.1111/1468-0068.00437.

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Alcock, Jamie, and Anthony Hatherley. "Characterizing the Asymmetric Dependence Premium*." Review of Finance 21, no. 4 (June 28, 2016): 1701–37. http://dx.doi.org/10.1093/rof/rfw022.

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SARKAR, SASABINDU, and BINAY MALAKAR. "HYBRID DERIVATIVE SCALAR COUPLING TO STUDY PROPERTIES OF ASYMMETRIC NUCLEAR MATTER AND ITS PHASE TRANSITION TO QUARK MATTER." Modern Physics Letters A 11, no. 38 (December 14, 1996): 2977–92. http://dx.doi.org/10.1142/s0217732396002952.

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We have studied properties of asymmetric nuclear matter and phase transition from this asymmetric system and also neutron matter to quark matter at zero and nonzero temperatures in the framework of recently proposed hybrid derivative scalar coupling model. We have discussed Hugenholtz-van Hove theorem and studied thermal energy, thermal pressure, symmetry energy and also incompressibility of hot dense asymmetric nuclear matter. Entropy per baryon of asymmetric nuclear matter and quark matter has been evaluated. We have also determined asymmetry dependence of density, energy per baryon of self bound asymmetric quark matter and its incompressibility.

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9

Chen, Y. H., and R. L. DeHaan. "Asymmetric voltage dependence of embryonic cardiac gap junction channels." American Journal of Physiology-Cell Physiology 270, no. 1 (January 1, 1996): C276—C285. http://dx.doi.org/10.1152/ajpcell.1996.270.1.c276.

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The voltage dependence of junctional conductance (Gj) and the unitary channel behavior of junctions in most pairs of 3-day, 7-day, and 18-day embryonic chick heart cells are symmetrical, i.e., they are independent of the direction of polarization of junctional potential (Vj). With either cell depolarized relative to its neighbor, unitary channel events have a maximal unit conductance (yj) near 240 pS and five substates at nearly equal 40-pS increments down to near 40 pS (6, 9). Using the dual patch-clamp technique, we demonstrate here that, in a fraction of such cell pairs, Vj-dependent channel kinetics are asymmetric. Depolarization of one cell causes a larger and faster voltage-dependent decline in Gj than the same depolarization of the other cell. In a typical asymmetric preparation, depolarization of the strongly Vj-dependent side caused an immediate series of 47 +/- 16 pS closing steps in single-channel current (ij), followed by virtual cessation of channel activity. After depolarization of the less Vj-sensitive side, channel activity (56 +/- 13 pS) continues for many seconds. The large-conductance states (160-240 pS) observed in the electrically symmetric junctions were absent from the asymmetric preparations. In these cell pairs, connexin (Cx) 42, Cx43, and Cx45 could be immunolocalized at the junctional surfaces. We postulate that the asymmetry of voltage dependence in some cell pairs results from a preponderance of heterochannels formed from these different connexins. The frequency of asymmetric pairs obtained from 3-day, 7-day, and 18-day embryonic hearts was 50% (4/8), 24% (6/25), and 12.5% (1/8), suggesting that the fraction of heterochannels in the junctions decreases with cardiac development.

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10

Dhinwal, Satyaveer, Laszlo Toth, Peter Hodgson, and Arunansu Haldar. "Effects of Processing Conditions on Texture and Microstructure Evolution in Extra-Low Carbon Steel during Multi-Pass Asymmetric Rolling." Materials 11, no. 8 (July 31, 2018): 1327. http://dx.doi.org/10.3390/ma11081327.

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Multi-pass rolling was carried out on extra-low carbon steel at room temperature by imposing different ratios of asymmetry in the roll-diameters as well as by conventional mode. The aim of this study is to understand the effect of shear deformation due to the asymmetric conditions on the development of the rolling texture and the possibilities of propagating the shear deformation into the mid-thickness area of the sheet. The trends of the measured texture developments in both symmetric and asymmetric rolling indicate their dependence primarily on the stability and fraction of the Goss {110}<001> and the rotated cube {001}<111> orientations. The effects of asymmetry conditions were further examined on the microstructure evolution and were correlated to the increased orientation inhomogeneity and grain fragmentation. Both texture and microstructure development showed their dependence on the applied thickness reduction per pass, on the total thickness reduction of the sheet as well as on the degree of the imposed asymmetry. It was found that shear textures can be obtained by asymmetric rolling at conditions where all three parameters—asymmetry ratio, strain in one pass, and the total accumulated strain—are as large as possible.

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Dissertations / Theses on the topic "Asymmetric dependence"

1

Robey, William Bud. "Implications for United States’ Military Strategy and Policy ofChina’s Asymmetric Anti-Satellite Capability." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1420469689.

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Ahmed, Salman. "Topics in macro finance." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/271307.

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In terms of the specific topics covered in the thesis, my research aims to further understanding of risky asset return and volatility behaviour from a macro-finance perspective. In three of the four chapters, the macro drivers of both risky asset returns (the first moment) and volatility (the second moment) are studied and analyzed in detail across different geographies and various time periods. The use of both long sample sets and relevant sub-sample periods allows for a more in-depth assessment of the nature and form of these drivers as well as their influence on risky asset return and volatility dynamics, whilst weakening the impact of any endogeneity bias which the empirical estimation framework used may be subject to. The earliest data used in this research starts from the 18th century. In the first chapter, entitled “Macro Drivers of Equity Market Volatility”, the focus is on the construction and analysis of macro state variables, which are shown to have a strong influence on the behaviour of equity return volatility, especially during periods of severe market upheaval. Chapter two examines the relative abilities of GARCH and Stochastic Volatility Models (SV) to forecast volatility, in a world where the true model can be depicted by an EGARCH(1,2) formulation. Turning to chapter three, the relationship between equity returns and inflation (specifically, if equities are a hedge against inflation) is explored using long-term historical data for the US, the UK, Germany and Japan. Finally, chapter four analytically tackles the question of how various investors' (institutional and retail) asset allocation decisions are dependent on both the formulation of the wealth maximization function and the differentiated nature of information signals. Specifically, this chapter focusses on how asset allocation behaviour of various categories of investors (facing different objective functions) may lead to “herding”.

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[Verfasser], Suroso, and András [Akademischer Betreuer] Bárdossy. "Asymmetric dependence based spatial copula models : empirical investigations and consequences on precipitation fields / Suroso ; Betreuer: András Bárdossy." Stuttgart : Universitätsbibliothek der Universität Stuttgart, 2017. http://d-nb.info/1139709720/34.

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Werner, Katarzyna Maria. "Essays on non-expected utility theory and individual decision making under risk." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-nonexpected-utility-theory-and-individual-decision-making-under-risk(e73bd3eb-8031-45f9-b34d-e5e9edb78e03).html.

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This thesis investigates the choices under risk in the framework of non-expected utility theories. One of the key contributions of this thesis is providing an approach that allows for a complete characterisation of Cumulative Prospect Theory (CPT) preferences without prior knowledge of the reference point. The location of the reference point that separates gains from losses is derived endogenously, thus, without any additional assumptions on the decision makers risk behaviour. This is different to the convention used in the literature, according to which, the reference point is preselected. The problem arising from imposing the location of the reference point is that the underlying preference conditions might not be alligned with the predictions made by the model. Consequently, it is difficult to verify such a model or to test it empirically. The present contribution offers a set of normatively and descriptively appealing preference conditions, which enable the elicitation of the reference point from the decision makers behaviour. Since these conditions are derived using objective probabilities, they can also be applied to settings such as health or insurance, where the continuity of the utility function is not required. As a result, the obtained representation theorem is not only the most general foundation for CPT currently available, but it also provides further support for the use of CPT as a modelling tool in decision theory and finance. Another contribution that this thesis can be credited with is an application of rank-dependent utility theory (RDU) to the problem of insurance demand in the monopoly market affected by adverse selection. The present approach extends the classical model of Stiglitz (1977) by accounting for an additional component of heterogeneity among consumers, the heterogeneity in risk perception. Specifically, consumers employ distinctive probability weighting functions to assess the likelihood of risky events. This aspect of consumers' behaviour highlights the importance that the probabilistic risk attitudes within the RDU framework, such as optimism and pessimism, have for the choice of insurance contract. The analysis yields a separating equilibrium, with full insurance for a sufficiently pessimistic decision maker. An important implication of this result is that any low-risk individual who sufficiently overestimates his probability of loss will induce the uninformed insurer to o¤er him full coverage, thereby, affecting the high-risk type adversely. This outcome is consistent with the recent empirical puzzle regarding the correlation between ex-post risk and insurance coverage, according to which, agents with low exposure to risk receive a larger amount of compensation. By providing an explanation of this pattern of individual behaviour, the current work demonstrates that theory and practice of insurance demand can be reconciled to a greater extent. The paper also provides a behavioural rationale for policy intervention in the market with RDU agents, where the initial distortions in contracts due to unobservable risks are aggravated by the non-linear weighting of probability of a risky event.

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Aytekin, Tevfik. "A New Theory Of Content." Master's thesis, METU, 2003. http://etd.lib.metu.edu.tr/upload/1138320/index.pdf.

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Naturalistic philosophers of meaning try to define the recalcitrant concept of reference in terms respected by the empirical science, such as causality or teleology. In this thesis, after a brief introduction to these trials is given, Fodors theory of content in terms of asymmetric dependence is examined in some depth. I claim that although this theory involves an important insight, it is an unsatisfactory attempt at reduction of the notion of reference. I develop a new theory of content, which does not have the defects of the analyses in terms of asymmetric dependence, and more successfully deals with notorious cases, such as pansemanticism and the possibility of misrepresentation.

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Silva, Filho Osvaldo Candido da. "Cópulas tempo-variantes em finanças." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2010. http://hdl.handle.net/10183/25771.

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A modelagem da estrutura de dependência é de grande importância em todos os ramos da economia onde há incerteza. Ela é um elemento crucial na análise de risco e para a tomada de decisão sob incerteza. As cópulas oferecem aos agentes que se deparam com este problema um poderoso e flexível instrumento para modelar a estrutura de dependência entre variáveis aleatórias e que é preferível ao instrumento tradicional baseado na correlação linear. Neste estudo, nós analisamos a dinâmica temporal da estrutura de dependência entre índices de mercados financeiros internacionais e propomos um novo procedimento para capturar a estrutura de dependência ao longo do tempo. Adicionalmente, estudamos alguns fatos estilizados sobre índices de mercados financeiros como a relação entre volume-volatilidade e retorno-volatilidade.
Modelling dependence is of key importance to all economic fields in which uncertainty plays a large role. It is a crucial element of risk analysis and decision making under uncertainty. Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and often are preferable to the traditional, correlation-based approach. In this work we analyze the time dynamics of the dependence structure between broad stock market indices and propose a novel procedure to capture dependence structure over time. Additionally, we study some stylized facts about stock market indexes such as volume-volatility and return-volatility relations.

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Fiodendji, Komlan. "Monetary Policy, Asset Price and Economic Growth." Thèse, Université d'Ottawa / University of Ottawa, 2012. http://hdl.handle.net/10393/22725.

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The relations between monetary policies, asset prices, and economic growth are important and fundamental questions in macroeconomics. To address these issues, several empirical works have been conducted to investigate these relations. However, few of them have documented whether these relations differ across regimes. In this context, the general motivation of this thesis is to use dependent regime models to examine these relations for the Canadian case. Chapter one empirically analyzes the interest rate behaviour of the Canadian monetary authorities by taking into account the asymmetry in the loss function. We employ a switching regime framework using two estimation strategies: First, we follow Caner and Hansen (2004) Threshold approach. Under this procedure we estimate the threshold values, using the Taylor empirical rules. Second, we estimate the asymmetric policy reaction function following Favero and Rovelli’s (2003) approach. The results reveal that the monetary authorities showed asymmetric preferences and that its reaction function can be better modeled with a nonlinear model. The main contribution of this chapter is to successfully interpret the parameters associated with the Bank of Canada preferences, something that Rodriguez (2008) could not do. Chapter two tries to estimate the interest rate behaviour of the Canadian monetary authorities by expanding the arguments of the loss function for fluctuations in asset prices. Using the same methodology as in the first chapter, our findings suggest that the augmented nonlinear reaction function is a good fit for the data and gives new relevant insights into the influence of asset prices on Canadian monetary policy. These findings about the role of asset prices in the reaction function of the Bank of Canada provide relevant insights regarding the opportunities and limitations of incorporating financial indicators in monetary policy decision making. They also provide financial market participants, such as analysts, bankers and traders, with a better understanding of the impact of stock market index prices on Bank of Canada policy. Stock market stabilization plays a larger role in the interest rate decisions of the Bank of Canada than it is willing to admit. Chapter three provides new evidence on the relation between inflation, relative price variability and economic growth to a panel of Canadian provinces over the period 1981-2008. We use the Bick and Nautz (2008) modified version of Hansen’s (1999) Panel Threshold Model. The evidence strongly supports the view that the relationship between inflation and economic growth is nonlinear. Further investigation suggests that relative price variability is one of the important channels through which inflation affects economic performance in Canadian provinces. When taking into account the cross-section dependence, we find that the critical threshold value slightly changes. It is desirable to keep the inflation rate in a moderate inflation regime because it may be helpful for the achievement of sustainable economic growth. The results seem to indicate that inflation that is too high or too low may have detrimental effects on economic growth.

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Tófoli, Paula Virgínia. "Ensaios em modelagem de dependência em séries financeiras multivariadas utilizando cópulas." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2013. http://hdl.handle.net/10183/115528.

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O presente trabalho foi motivado pela forte demanda por modelos de dependência mais precisos e realistas para aplicações a dados financeiros multivariados. A recente crise financeira de 2007-2009 deixou claro quão importante é uma modelagem precisa da dependência para a avaliação correta do risco financeiro: percepções equivocadas sobre dependências extremas entre diferentes ativos foram um elemento importante da crise do subprime. O famoso teorema dc Sklar (1959) introduziu as cópulas como uma ferramenta para se modelar padrões de dependência mais sofisticados. Ele estabelece que qualquer função de distribuição conjunta ndimensional pode ser decomposta em suas n distribuições marginais e uma cópula, sendo que a última caracteriza completamente a dependência entre as variáveis. Enquanto existe uma variedade de famílias de cópulas bivariadas que podem descrever um amplo conjunto de dependências complexas, o conjunto de cópulas com dimensão mais elevada era bastante restrito até recentemente. Joe (1996) propôs uma construção de distribuições nmltivariadas baseada em pair-copulas (cópulas bivariadas), chamada pair-copula construction ou modelo de vine cópula, que reverteu esse problema. Nesta tese, desenvolvemos três ensaios que exploram a teoria de cópulas para obter modelos de dependência multivariados muito flexíveis para aplicações a dados financeiros. Patton (2006) estendeu o teorema de Sklar para o caso de distribuições condicionais e tornou o parâmetro de dependência da cópula variante no tempo. No primeiro ensaio, introduzimos um novo enfoque para modelar a dependência entre retornos financeiros internacionais ao longo do tempo, combinando cópulas; tempo-variantes e o modelo de mudança Markoviana. Aplicamos esses modelos de cópula e também os modelos propostos por Patton (2006), Jondeau e Rockinger (2006) e Silva Filho et al. (2012a) aos retornos dos índices FTSE 100, CAC 40 e DAX. Comparamos essas metodologias em termos das dinâmicas de dependência resultantes e das habilidades dos modelos em prever Valor em Risco (VaR). Interessantemente, todos os modelos identificam um longo período de alta dependência entre os retornos começando em 2007, quando a crise do subprime teve início oficialmente. Surpreendentemente, as cópulas elípticas mostram melhor desempenho na previsão dos quantis extremos dos retornos dos portfólios. No segundo ensaio, estendemos nosso estudo para o caso de n > 2 variáveis, usando o modelo de vine cópula para investigar a estrutura de dependência dos índices CAC 40, DAX, FTSE 100, S&P 500 e IBOVESPA, e, particularmente, checar a hipótese de dependência assimétrica nesse caso. Com base em nossos resultados empíricos, entretanto, essa hipótese não pode ser verificada. Talvez a dependência assimétrica com caudas inferiores mais fortes ocorra apenas temporariamente, o que sugere que a incorporação de variação temporal ao modelo de vine cópula pode melhorá-lo como ferramenta para modelar dados financeiros internacionais multivariados. Desta forma, no terceiro ensaio, introduzimos dinâmica no modelo de vine cópula permitindo que os parâmetros de dependência das pair-copulas em uma decomposição D-vine sejam potencialmente variantes no tempo, seguindo um processo ARMA(l,m) restrito como em Patton (2006). O modelo proposto é avaliado em simulações e também com respeito à acurácia das previsões de Valor em Risco (VaR) em períodos de crise. Os experimentos de Monte Cailo são bastante favoráveis à cópula D-vine dinâmica em comparação a uma cópula D-vine estática. Adicionalmente, a cópula D-vine dinâmica supera a cópula D-vine estática em termos de acurária preditiva para os nossos conjuntos de dados
This work was motivated by the strong demand for more precise and realistic dependence models for applications to multivariate financial data. The recent financial crisis of 2007-2009 has made it clear how important is a precise modeling of dependence for the accurate assessment of financial risk: misperceptions about extreme dependencies between different financial assets were an important element of the subprime crisis. The famous theorem by Sklar (1959) introduced the copulas as a tool to model more intricate patterns of dependence. It states that any n-dimensional joint distribution function can be decomposed into its n marginal distributions and a copula, where the latter completely characterizes the dependence among the variables. While there is a variety of bivariate copula families, which can match a wide range of complex dependencies, the set of higher-dimensional copulas was quite restricted until recently. Joe (1996) proposed a construction of multivariate distributions based on pair-copulas (bivariate copulas), called pair-copula construction or vine copula model, that has overcome this issue. In this thesis, we develop three papers that explore the copula theory in order to obtain very flexible multivariate dependence rnodels for applications to financial data. Patton (2006) extended Sklar's theorem to the conditional case and rendered the dependence parameter of the copula time-varying. In the first paper, we introduce a new approach to modeling dependence between International financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those proposed by Patton (2006), Jondeau and Rockinger (2006) and Silva Filho et al. (2012a) to the return data of FTSE 100, CAC 40 and DAX indexes. We compare these methodologies in terms of the resulting dynamics of dependence and the models' abilities to forecast Value-at-Risk (VaR). Interestingly, ali the models identify a long period of high dependence between the returns beginning in 2007, when the subprime crisis was evolving. Surprisingly, the elhptical copulas perform best in forecasting the extreme quantiles of the portfolios returns. In the second paper, we extend our study to the case of n > 2 variables, using the vine copula model to investigate the dependence structure of the broad stock market indexes CAC 40, DAX, FTSE 100, S&P 500 and IBOVESPA, and, particularly, check the asymmetric dependence hypothesis in this case. Based on our empirical results, however, this hypothesis cannot be verified. Perhaps, asymmetric dependence with stronger lower tails occurs only temporarily, what suggests that incorporating time variation into the vine copula rnodel can improve it as a tool to rnodel multivariate International financial data. So, in the third paper, we introduce dynamics into the vine copula model by allowing the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially timevarying, following a nonlinear restricted ARMA(l,m) process as in Patton (2006). The proposed model is evaluated in simulations and further assessed with respect to the accuracy of Value-at- Risk (VaR) forecasts in crisis periods. The Monte Cario experiments are quite favorable to the dynamic D-vine copula in comparison with a static D-vine copula. Moreover, the dynamic Dvine copula outperforms the static D-vine copula in terms of predictive accuracy for our data sets.

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9

Jong, Simon Barend de. "Asymmetry in task dependence among team members." [S.l. : Groningen : s.n. ; University Library of Groningen] [Host], 2008. http://irs.ub.rug.nl/ppn/305748580.

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Menguturk, Levent Ali. "Information-based jumps, asymmetry and dependence in financial modelling." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10953.

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In mathematical finance, economies are often presented with the specification of a probability space equipped with a filtration that encodes information flow. The information-based framework of Brody, Hughston and Macrina (BHM) emphasises the role of market information in deriving asset price dynamics, instead of assuming price behaviour from the start. We extend the BHM framework by (i) modelling the nature of access to information through information blockages and activations of new information sources, and (ii) introducing a new class of multivariate Markov processes that we call Generalised Liouville Processes (GLPs) which can model the flow of information about vectors of assets. The analysis of access to information allows us to derive price dynamics with jumps. It additionally enables us to develop an information-switching framework, and price derivatives under regime-switching economies. We also indicate some geometrical aspects of appearances of new information sources. We represent information jumps on the unit sphere in the Hilbert space of square-integrable functions, and on hyperbolic spaces. We use differential geometry, information theory and what we call n-order piecewise enlargements of filtrations to dynamically quantify the impact of sudden changes in the sources of information. This helps us to model the stochastic evolution of what may be viewed as information asymmetry. In related work, we construct GLPs on finite time horizons by splitting so-called Levy random bridges into non-overlapping subprocesses. The terminal values of GLPs have generalised multivariate Liouville distributions, and GLPs can model a wide spectrum of information-driven dependence structures between assets. The law of an n-dimensional GLP under an equivalent measure is that of an n-vector of independent Levy processes. We focus on a special type of GLPs that we call Archimedean Survival Processes (ASPs). The terminal value of an ASP has an [Symbol appears here. To view, please open pdf attachment] 1-norm symmetric distribution, and hence, an Archimedean survival copula.

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Books on the topic "Asymmetric dependence"

1

Alcock, Jamie, and Stephen Satchell, eds. Asymmetric Dependence in Finance. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.

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Germany and the Visegrad countries between dependence and asymmetric partnership? Hamburg: Institut für Internationale Politik an der Universität der Bundeswehr Hamburg, 2002.

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Pryce, Gwilym B. J. Dependence of equilibrium credit rationing on the nature of loan insurance: The spillover effects of asymmetric information. Glasgow: University of Glasgow, Centre for Housing Research and Urban Studies, 1996.

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Iggesen, Oliver A. Case-asymmetry: A world-wide typological study on lexeme-class-dependent deviations in morphological case inventories. München: Lincom Europa, 2005.

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Barnes, Elizabeth. Symmetric Dependence. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198755630.003.0003.

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Metaphysical orthodoxy maintains that the relation of ontological dependence is irreflexive, asymmetric, and transitive. The goal of this paper is to challenge that orthodoxy by arguing that ontological dependence should be understood as non-symmetric, rather than asymmetric. A series of cases across a wide range of ontological commitments are presented, and it is argued that each case should be understood as one in which the relation of dependence holds symmetrically. If these arguments work, however, they provide reasons to be skeptical of the way in which contemporary discussions typically lump dependence together with relations such as grounding and in virtue of, which arguably need to be understood as asymmetric. If the asymmetry of dependence is relinquished, interesting things follow for what can be said about metaphysical explanation—particularly for the prospects of explanatory holism.

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Satchell, Stephen, and Jamie Alcock. Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley & Sons, Incorporated, John, 2018.

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Limits to Power: Asymmetric Dependence and Japanese Foreign Aid Policy (Studies of Modern Japan). Lexington Books, 2003.

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Kutach, Douglas. The Asymmetry of Influence. Edited by Craig Callender. Oxford University Press, 2011. http://dx.doi.org/10.1093/oxfordhb/9780199298204.003.0009.

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This chapter considers the nature of the causal asymmetry, or even more generally, the asymmetry of influence. Putting aside explanations which would appeal to an asymmetry in time as explaining this asymmetry, it aims to show, using current physical theory and no ad hoc time asymmetric assumptions, why it is that future-directed influence sometimes advances one's goals but backward-directed influence does not. The chapter claims that agency is crucial to the explanation of the influence asymmetry. It provides an exhaustive account of the advancement asymmetry that is connected with fundamental physics, influence, causation, counterfactual dependence, and related notions in palatable ways.

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Berndt, C. Divisions of labour: Power asymmetries and place dependence. Cambridge University, 1997.

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Ocampo, José Antonio. The Provision of Global Liquidity. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198718116.003.0002.

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This chapter starts by analysing three major problems of the current international monetary system: the asymmetric-adjustment problem, dependence on the monetary policy of the main reserve-issuing country, and the large demand for self-insurance by developing countries. It then explores two basic alternatives to reform the system: one route would involve a fully-fledged multi-currency reserve system; the alternative route would be to design an architecture based on the IMF’s Special Drawing Rights (SDRs), the world’s only truly global reserve asset. These two alternative routes could be mixed in a number of ways, and in fact their complementary use may be the only possible way forward. Under such a mixed system, SDRs would become a major global reserve asset and the source of financing for IMF lending, but national/regional currencies would continue to be used as international means of payment and stores of value.

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Book chapters on the topic "Asymmetric dependence"

1

Hatherley, Anthony. "Hedging Asymmetric Dependence." In Asymmetric Dependence in Finance, 110–32. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch5.

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Alcock, Jamie, and Anthony Hatherley. "Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence." In Asymmetric Dependence in Finance, 1–16. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch1.

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Chu, Ba, and Stephen Satchell. "The Most Entropic Canonical Copula with an Application to ‘Style’ Investment." In Asymmetric Dependence in Finance, 221–62. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch10.

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Low, Rand Kwong Yew, Jamie Alcock, Robert Faff, and Timothy Brailsford. "Canonical Vine Copulas in the Context of Modern Portfolio Management." In Asymmetric Dependence in Finance, 263–89. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch11.

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Satchell, Stephen, and Oliver Williams. "The Size of the CTA Market and the Role of Asymmetric Dependence." In Asymmetric Dependence in Finance, 17–46. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch2.

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Alcock, Jamie, and Anthony Hatherley. "The Price of Asymmetric Dependence." In Asymmetric Dependence in Finance, 47–74. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch3.

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Ahmed, Salman, Nandini Srivastava, and Stephen Satchell. "Misspecification in an Asymmetrically Dependent World." In Asymmetric Dependence in Finance, 75–109. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch4.

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Lundin, Mark, and Stephen Satchell. "Orthant Probability-Based Correlation." In Asymmetric Dependence in Finance, 133–51. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch6.

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Lee, Sharon X., and Geoffrey J. McLachlan. "Risk Measures Based on Multivariate Skew Normal and Skew t-Mixture Models." In Asymmetric Dependence in Finance, 152–68. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch7.

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Anatolyev, Stanislav, Renat Khabibullin, and Artem Prokhorov. "Estimating Asymmetric Dynamic Distributions in High Dimensions." In Asymmetric Dependence in Finance, 169–97. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch8.

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Conference papers on the topic "Asymmetric dependence"

1

Liang, Zhao-Hui, Wei Zhang, and Shusheng Li. "Asymmetric Extremal Dependence in Chinese Futures Market." In 2007 3rd International Conference on Wireless Communications, Networking, and Mobile Computing - WiCOM '07. IEEE, 2007. http://dx.doi.org/10.1109/wicom.2007.999.

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Yu, Zhizhen, Yichen Fang, Zongwei Wang, Yimao Cai, Ru Huang, and Jintong Xu. "Margin Dependence on Array Size for Asymmetric Resistive Memory Cell." In 2018 Non-Volatile Memory Technology Symposium (NVMTS). IEEE, 2018. http://dx.doi.org/10.1109/nvmts.2018.8603110.

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Alcock, Jamie, and Petra Andrlikova. "Do Real Estate Investment Trust Investors Value Asymmetric Dependence in returns?" In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2016. http://dx.doi.org/10.15396/eres2016_93.

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Tanguy, C., Benoit Deveaud, Andre Regreny, and Daniele Hulin. "Charge density dependence of carrier tunneling in asymmetric quantum well structures." In The Hague '90, 12-16 April, edited by Andre Antonetti. SPIE, 1990. http://dx.doi.org/10.1117/12.20332.

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Deri, R. J., M. A. Emanuel, F. G. Patterson, and S. P. Dijaili. "REDUCING POLARIZATION DEPENDENCE in ASYMMETRIC COUPLER WAVELENGTH FILTERS using BIREFRINGENCE COMPENSATION." In Integrated Photonics Research. Washington, D.C.: OSA, 1995. http://dx.doi.org/10.1364/ipr.1995.ithc4.

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Roberts, N. A., and D. G. Walker. "Phonon Transport in Asymmetric Sawtooth Nanowires." In ASME/JSME 2011 8th Thermal Engineering Joint Conference. ASMEDC, 2011. http://dx.doi.org/10.1115/ajtec2011-44341.

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Thermal transport in asymmetric sawtooth nanowires was investigated. The boundaries reflect phonons differently depending on the frequency and momentum of the phonon. These systems show thermally rectifying behavior when the boundary reflections are a function of both the direction the phonon is traveling and the frequency of the phonon. This rectifying effect could be useful for thermal management applications at all size scales, but would have to be built up from the nanoscale because of a strong dependence on the device aspect ratio and the Knudsen number of the system. Monte Carlo simulations show an accumulation of phonons at the boundary which emits phonons in a perceived rough direction where those phonons have some probability of diffuse reflections at the boundary while phonons emitted in the smooth direction only experience specular reflections at the boundary and are eventually thermalized at the opposite boundary. In this study the level of rectification of the system was linearly dependent on the device aspect ratio as long as the length of the device was near or below the phonon mean free path of the phonons.

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Dalmolin, F. T., B. V. Carlson, Valdir Guimaraes, José R. B. Oliveira, Kita C. D. Macario, and Frederico A. Genezini. "Temperature dependence of normal and quasi-deuteron pairing in asymmetric nuclear matter." In NUCLEAR PHYSICS 2008: XXXI Workshop on Nuclear Physics in Brazil. AIP, 2009. http://dx.doi.org/10.1063/1.3157817.

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Yun, D., S. Choi, S. Kim, J. Rhee, and K. Lee. "Asymmetric Magnetization Reversal and Angular Dependence in Perpendicular Exchange-Biased Pd/Co Multilayers." In INTERMAG 2006 - IEEE International Magnetics Conference. IEEE, 2006. http://dx.doi.org/10.1109/intmag.2006.374988.

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Wang, Yuekun, Mohd Rashid Redza Abdullah, James Sexton, and Mohamed Missous. "Temperature dependence characteristics of In0.53Ga0.47As/AlAs asymmetric spacer-layer tunnel (ASPAT) diode detectors." In 2015 8th UK, Europe, China Millimeter Waves and THz Technology Workshop (UCMMT). IEEE, 2015. http://dx.doi.org/10.1109/ucmmt.2015.7460589.

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Sukhoivanov, Igor A., Olga V. Mashoshyna, Valerii K. Kononenko, and Dmitrii V. Ushakov. "Temperature dependence of the threshold and Auger recombination in asymmetric quantum-well heterolasers." In SPIE Proceedings, edited by Igor A. Sukhoivanov, Vasily A. Svich, Alexander V. Volyar, Yuriy S. Shmaliy, and Sergy A. Kostyukevych. SPIE, 2004. http://dx.doi.org/10.1117/12.583462.

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Reports on the topic "Asymmetric dependence"

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DiCecio, Riccardo, Michael T. Owyang, Ivana Komunjer, and Julieta Caunedo. Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts. Federal Reserve Bank of St. Louis, 2013. http://dx.doi.org/10.20955/wp.2013.012.

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Soffer, Abner. Study of time-dependent CP asymmetries with partial reconstruction of B->D*pi. Office of Scientific and Technical Information (OSTI), July 2003. http://dx.doi.org/10.2172/813310.

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Soha, Aron L. A study of time-dependent CP asymmetry in B0 --> J/psi pi0 decays. Office of Scientific and Technical Information (OSTI), July 2002. http://dx.doi.org/10.2172/799950.

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Jones, C. E., J. O. Hansen, and N. C. Makins. Measurement of the helicity-dependent asymmetry in {sup 3}H(e,e) quasielastic scattering. Office of Scientific and Technical Information (OSTI), August 1995. http://dx.doi.org/10.2172/166417.

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Aubert, B. Measurement of the Time-Dependent CP Asymmetry in the B0->Phi K0 Decay. Office of Scientific and Technical Information (OSTI), March 2004. http://dx.doi.org/10.2172/826807.

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Di Marco, Emanuele. Time Dependent CP Asymmetries and Branching RatioMeasurements in Charmless Three Body B Decays at BABAR. Office of Scientific and Technical Information (OSTI), May 2007. http://dx.doi.org/10.2172/922604.

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Hoecker, A. The Measurement of Time-Dependent CP-Violating Asymmetries in Loop-Dominated B Decays with BABAR. Office of Scientific and Technical Information (OSTI), October 2004. http://dx.doi.org/10.2172/839610.

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Aubert, B. Measurement of Time-dependent CP Asymmetries inB0->D(*)pi and B0->Drho Decays. Office of Scientific and Technical Information (OSTI), March 2006. http://dx.doi.org/10.2172/877211.

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Aubert, B. Measurements of Branching Fractions and Time-Dependent CP-Violating Asymmetries in B to eta' K Decays. Office of Scientific and Technical Information (OSTI), February 2005. http://dx.doi.org/10.2172/839753.

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Soha, Aron L. Study of Time-Dependent CP Asymmetry in Neutral B Decays to J/{psi}{pi}{sup 0}. Office of Scientific and Technical Information (OSTI), March 2003. http://dx.doi.org/10.2172/812958.

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