This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the G...

chlormequat (cycocel or ccc), the plant growth retardant, was evaluated for its ability to control plant height in brassica oleracea cultivar ‘kamome white’ and ‘nagoya red’. different concentrations of ccc (0, 500, 1000 and 1500 mg/l) were sprayed and drenched on plants 40 days after transplanting. data were recorded the 60 and 90 days after transplanting. the 1500 mg/l of ccc resulted in abou...

The CCC-r chart is developed based on cumulative count of a conforming (CCC) control chart that considers the cumulative number of items inspected until observing r nonconforming ones. Typically, the samples obtained from the process are analyzed through 100% inspection to exploit the CCC-r chart. However, considering the inspection cost and time would limit its implementation. In this paper, w...

In the light of regime switching and volatility clustering in the dynamics of SHIBOR, regime-switching CIR model (RSCIR) and regime-switching GARCH CIR model (RSCIR-GARCH) are established by introducing regime-switching and GARCH specifications into CIR model successively. Then, a contrast study among CIR, RSCIR and RSCIR-GARCH models is performed based on SHIBOR sample data, which indicates th...

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets based on four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. The GARCH-X and the BEKK GARCH-X models are uniquely different from the other...

Extreme value theory is widely used financial applications such as risk analysis, forecasting and pricing models. One of the major difficulties in the applications to finance and economics is that the assumption of independence of time series observations is generally not satisfied, so that the dependent extremes may not necessarily be in the domain of attraction of the classical generalised ex...