The Dynamic International Optimal Hedge Ratio

Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., the U.K., and Japan.Optimal Hedge Ratio, International Hedging, Multivariate GARCH, Currency

The Master of All Things: The Human Soul in Shelley’s Poems

This article, combined with Shelley’s individual life experience and the historical and cultural parts of the soul from the ancient Greek philosopher Plato, expounds Shelley’s idea about the immortality of human soul from the perspective of individual soul. Shelley believes that the human soul is created by God and a perfect man should be a combination of the body and wisdom. Love is the only access to the eternal state of the human soul and the human soul, as the shadow of the soul of the universe, has the characteristic of the immortality after the death of the human body

Traffic simulation of Beijing west railway station north area

Purpose: In recent years the problem of traffic congestion and its management has become increasingly prominent. It is a hot research about how to make full use of computer simulation technology to make transportation more rational and more organized. In this paper, we focus on traffic of Beijing West Railway Station north area, and try to find a way to reduce traffic congestion in this area. Approach: In this paper, we studied the traffic flow by survey. We also built a traffic simulation model with VISSIM software. Different types of vehicles and their speed are set in model according survey data. The simulation model provides different traffic scenarios of Beijing West Railway Station north area. Findings: We found the traffic of this area up is to 1800 vehicles/hour. Heavy traffic burden causes traffic congestion in two positions: the bus hub and car drop-off point. If we can extend bus interval departure time and park cars to south square of Beijing West Railway Station, the traffic condition will be improved. Originality: This paper gives a solution to reduce traffic congestion in Beijing West Railway Station north area. The bus hub and car parking lots are the key point of traffic problem in this area.Peer Reviewe

Unfolded GARCH models

A new GARCH-type model for autoregressive conditional volatility, skewness, and kurtosis is proposed. The approach decomposes returns into their signs and absolute values, and specifies the joint distribution by combining a multiplicative error model for the absolute values, a dynamic binary choice model for the signs, and a copula function for their interaction. The conditional volatility and kurtosis are determined by innovations following a folded (or absolute) Studentt distribution with time-varying degrees of freedom, and separate time variation in conditional return skewness is achieved by allowing the copula parameter to be dynamic. Model estimation is performed with Bayesian methods using an adaptive Markov chain Monte Carlo algorithm. An empirical application to the returns on four major international stock market indices illustrates the statistical and economic significance of the new model for conditional higher moments