When is a cause of a cause of an effect also a cause of that effect? The right answer is either “Sometimes” or “Always”. In favour of “Always”, transitivity is considered by some to be necessary for distinguishing causes from redundant noncausal events. Moreover transitivity may be motivated by an interest in an unselective notion of causation, untroubled by principles of invidious discriminati...

According to common judicial standard, judgment in favor of plaintii should be made if and only if it is \more probable than not" that the defendant's action was the cause for the plaintii's damage (or death). This paper provides formal semantics, based on structural models of counterfactuals, for the probability that event x was a necessary or suucient cause (or both) of another event y. The p...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...

Article history: Received 15 February 2010 Received in revised form 13 February 2013 Accepted 21 February 2013 Available online 19 March 2013 This paper investigates the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets. We, first, derive the dynamic conditional correlation (DC...

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...

We focus on the pairwise correlations of Japanese stock returns to study their correlation dynamics empirically. Two types of reduced size sample portfolios are created to observe the changes in conditional correlation: a set of individual stock portfolios created by using a network-based clustering algorithm and a single portfolio created from the mean return indexes of the individual sample p...

The purpose of this research is to investigate the correlation between bond yields and Shariah equity index from 2007 2019. Multivariate-GARCH Dynamic Conditional Correlation (DCC) model applied daily data indices five markets, namely conventional bond, corporate sukuk, government as well Islamic market, which represented by FTSE Bursa Malaysia EMAS Shariah. empirical evidence reveals a substan...

To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive heteroscedasticity (GARCH) models on daily stock return emerging markets. A log-returns three leading indices such as KSE100, KSE30, KSE-ALL from Pakistan Stock Exchange SSE180, SSE50 SSE-Composite Shanghai ...