This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethe...This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethereum)and Islamic(Stellar and Ripple)cryptocurrencies.Using a novel time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach combined with a high frequency(hourly)dataset ranging from 1st June 2018 to 22nd July 2022,we find that(i)good and bad spillovers are time-varying;(ii)bad volatility spillovers are more pronounced than good spillovers;(iii)a strong asymmetry in the volatility spillovers exists in the cryptocurrency market;and(iv)conventional cryptocurrencies dominate Islamic cryptocurrencies.Specifically,Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.展开更多
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric ...This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.展开更多
An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between th...An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.展开更多
The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold a...The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19.Through the application of various statistical techniques,including cointegration tests,vector autoregressive models,vector error correction models,autoregressive distributed lag models,and Granger causality analyses,we explore the relationship between these markets and assess the safe-haven properties of gold and crude oil for cryptocurrencies.Our findings reveal that during the COVID-19 pandemic,gold is a strong safe-haven for Bitcoin,Litecoin,and Monero while demonstrating a weaker safe-haven potential for Bitcoin Cash,EOS,Chainlink,and Cardano.In contrast,gold only exhibits a strong safe-haven characteristic before the pandemic for Litecoin and Monero.Additionally,Brent crude oil emerges as a strong safe-haven for Bitcoin during COVID-19,while West Texas Intermediate and Brent crude oils demonstrate weaker safe-haven properties for Ether,Bitcoin Cash,EOS,and Monero.Furthermore,the Granger causality analysis indicates that before the COVID-19 pandemic,the causal relationship predominantly flowed from gold and crude oil toward the cryptocurrency markets;however,during the COVID-19 period,the direction of causality shifted,with cryptocurrencies exerting influence on the gold and crude oil markets.These findings provide subtle implications for policymakers,hedge fund managers,and individual or institutional cryptocurrency investors.Our results highlight the need to adapt risk exposure strategies during financial turmoil,such as the crisis precipitated by the COVID-19 pandemic.展开更多
This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023...This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.展开更多
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Anton...This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al.(J Risk Financ Manag 13(4):84,2020).The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19,although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008.Furthermore,we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil,gold,and silver were the main net transmitters of shocks during the COVID-19 pandemic.In contrast,natural gas and palladium were the main net receivers of shocks during the entire sample period,making these two commodities attractive hedging and safe haven options for investors during the pandemic.Overall,our results suggest that hedging and diversification opportunities decrease during crises.Furthermore,they indicate that accurate forecasts of the volatility of several commodities,such as natural gas and different metals,can be obtained by exploiting the information content of crude oil.However,they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic.展开更多
We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile s...We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile spillovers are higher than those at the median,meaning that connectedness augments at extremes.For normal,bearish,and bullish markets,Bitcoin Cash,Bitcoin,Ethereum,and Litecoin consistently remain net transmitters,while NFTs receive innovations.However,spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs.We find no markets useful for mitigating BTC risks,whereas BTC is capable of reducing the risk of other digital assets,which is a valuable insight for market players and investors.展开更多
Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which fa...Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.展开更多
In this paper, we study the connectedness of the invariant sets of a graph-directed iterated function system（IFS）. For a graph-directed IFS with N states, we construct N graphs. We prove that all the invariant sets ...In this paper, we study the connectedness of the invariant sets of a graph-directed iterated function system（IFS）. For a graph-directed IFS with N states, we construct N graphs. We prove that all the invariant sets are connected, if and only if all the N graphs are connected; in this case, the invariant sets are all locally connected and path connected. Our result extends the results on the connectedness of the self-similar sets.展开更多
<strong>Background: </strong>Campus connectedness is a kind of social connectedness that determines the students’ perception of their belonging to the other populace of the campus that includes students, ...<strong>Background: </strong>Campus connectedness is a kind of social connectedness that determines the students’ perception of their belonging to the other populace of the campus that includes students, teachers, administrators, and other staff. Campus connectedness plays a significant role in determining stress, anxiety, and depression among students. The purpose of the study was to examine the relationship of campus connectedness to stress, anxiety, and depression among nursing students. <strong>Methods:</strong> This cross-sectional analytical study was conducted among 680 undergraduate nursing students from nine nursing colleges affiliated with a university in Kathmandu Valley. Data were collected from June 1, 2018, through July 10, 2018. Depression, Anxiety, Stress Scale and Campus Connectedness Scale were used to collect data. The data were analyzed using Statistical Package for Social Sciences version 23. A one-way multivariate analysis of variance (MANOVA) test was used to examine the relationship of campus connectedness to stress, anxiety, and depression. Discriminant analysis was done as a follow-up procedure to MANOVA. <strong>Results: </strong>Students had moderate to extremely severe levels of depression (51.7%), anxiety (72.9%) and stress (47%). High campus connectedness score was observed (M = 62.42;SD = 9.79). Statistically significant differences were found among the levels of campus connectedness on the outcome variables, Wilks’ lambda (<em>λ</em>) = 0.90, <em>F</em>(3, 676) = 24.56, <em>p</em> < 0.001. Depression demonstrated the strongest relationship with the discriminant function. <strong>Conclusions: </strong>There was a significant relationship of campus connectedness to stress, anxiety, and depression. Despite the high level of campus connectedness, students had moderate to severe levels of stress, anxiety, and depression. The campus adminstration must take measures and efforts to provide conducive environment and counseling services for the wellbeing of their students.展开更多
Pig breeding is generally conducted among many herds, so EBV comparisons across populationsare necessary. Genetic connectedness is required for reliable between-farm animal EBV comparisons.Five quantitative overall co...Pig breeding is generally conducted among many herds, so EBV comparisons across populationsare necessary. Genetic connectedness is required for reliable between-farm animal EBV comparisons.Five quantitative overall connectedness measures among populations have been proposed so far,coefficient of connectedness(γ*), coefficient of determination (CD) and overall indices ofprecision, connectedness rating, number of direct genetic links between subpopulations due tocommon sires and dams (GLt), and average genetic covariance (AGC) are reviewed and theirproperties are discussed in this paper. It is recommended to use AGC at present for measuringgenetic connectedness between herds.展开更多
This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,t...This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.展开更多
Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management.However,most existing research focuses on the lower-order moment nexus(i.e.the return and...Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management.However,most existing research focuses on the lower-order moment nexus(i.e.the return and volatility interactions).For the first time,this study investigates the higher-order moment comovements and risk connectedness among cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains.We combine the realized moment measures and wavelet coherence,and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach(Chatziantoniou et al.in Integration and risk transmission in the market for crude oil a time-varying parameter frequency connectedness approach.Technical report,University of Pretoria,Department of Economics,2021)using intraday high-frequency data.The empirical results demonstrate that the comovement of realized volatility between BTC and other cryp-tocurrencies is stronger than that of the realized skewness,realized kurtosis,and signed jump variation.The comovements among cryptocurrencies are both time-dependent and frequency-dependent.Besides the volatility spillovers,the risk spillovers of high-order moments and jumps are also significant,although their magnitudes vary with moments,making them moment-dependent as well and are lower than volatility connectedness.Frequency connectedness demonstrates that the risk connectedness is mainly transmitted in the short term(1–7 days).Furthermore,the total dynamic connectedness of all realized moments is time-varying and has been significantly affected by the outbreak of the COVID-19 pandemic.Several practical implications are drawn for crypto investors,portfolio managers,regulators,and policymakers in optimizing their investment and risk management tactics.展开更多
A fast interactive segmentation algorithm of image-sequences based on relative fuzzy connectedness is presented. In comparison with the original algorithm, the proposed one, with the same accuracy, accelerates the seg...A fast interactive segmentation algorithm of image-sequences based on relative fuzzy connectedness is presented. In comparison with the original algorithm, the proposed one, with the same accuracy, accelerates the segmentation speed by three times for single image. Meanwhile, this fast segmentation algorithm is extended from single object to multiple objects and from single-image to image-sequences. Thus the segmentation of multiple objects from complex hackground and batch segmentation of image-sequences can be achieved. In addition, a post-processing scheme is incorporated in this algorithm, which extracts smooth edge with one-pixel-width for each segmented object. The experimental results illustrate that the proposed algorithm can obtain the object regions of interest from medical image or image-sequences as well as man-made images quickly and reliably with only a little interaction.展开更多
Two pig populations were simulated with Monte Carlo method; each consisted of 5 boars and 50 sows per generation. Genetic connectedness between herds was established by randomly selecting 1 or 2 boars from one populat...Two pig populations were simulated with Monte Carlo method; each consisted of 5 boars and 50 sows per generation. Genetic connectedness between herds was established by randomly selecting 1 or 2 boars from one population to mate sows of the other population. Breeding pigs were selected within populations according to animal model BLUP. The benefits of genetic connectedness between herds were examined. The results showed that, the average coefficients of inbreeding decreased, while the cumulative selection responses of populations increased, and the higher response occurred randomly in the two populations at generation 5 with the increase of the genetic connectedness between herds. Selection response was affected by genetic connectedness and trait heritability, the lower heritability and higher connectedness, the better selection results. When the number of exchanged litters between populations per generation was 6 litters, the selection results reached a reflection point; if the number of exchanged litters between populations increased further from this point, neither the increase of the cumulative selection responses nor the decrease of coefficients of inbreeding was significant.展开更多
This paper deals with the connectedness of the cone-efficient solution set for vector optimization in locally convex Hausdorff topological vector spaces. The connectedness of the cone-efficient solution set is proved ...This paper deals with the connectedness of the cone-efficient solution set for vector optimization in locally convex Hausdorff topological vector spaces. The connectedness of the cone-efficient solution set is proved for multiobjective programming defined by a continuous one-to-one cone-quasiconvex mapping on a compact convex set of alternatives. During the proof, the generalized saddle theorem plays a key role.展开更多
We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom ...We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.展开更多
Estimating genetic connectedness among herds is important for the accuracy of dairy cattle genetic evaluation. When selecting between animals raised in different herds, the accuracy of their genetic evaluations can be...Estimating genetic connectedness among herds is important for the accuracy of dairy cattle genetic evaluation. When selecting between animals raised in different herds, the accuracy of their genetic evaluations can be influenced by the degree of connectedness among these herds. In this study, two methods were used to measure genetic connectedness, CR （genetic connectedness rating ） and GLt （total number of direct genetic links between group）, among herds from Beijing, Shanghai, and Tianjin. Genetic connectedness between the herds from Beijing and Tianjin was 23.95%, between Beijing and Shanghai was 17. 10%, and between Shanghai and Tianjin it was 14.28%. Genetic connectedness between herds from Beijing and Tianjin was the highest and that between Shanghai and Tianjin was the lowest. The correlation coefficient for the two methods was 0. 808. Some suggestions for improved genetic evaluation of dairy cattle were also discussed.展开更多
“Connectedness” is an essential component of genetic evaluations. The degree of connectedness affects the accuracy of comparing estimated breeding values (EBVs) from one herd or contemporary group to the other. It c...“Connectedness” is an essential component of genetic evaluations. The degree of connectedness affects the accuracy of comparing estimated breeding values (EBVs) from one herd or contemporary group to the other. It can be measured through Connectedness Rating (CR) which is based on variances and covariance among the estimates of contemporary group effects. A computing algorithm and a computer program for estimating CR is available. The minimum required level of connectedness depends upon the size of the contemporary groups, the level of accuracy and the residual variance. About 48% CR is required to detect differences between EBVs that are greater than 20% of the standard deviation in the trait, for group sizes of about 100 animals. Higher levels are necessary for smaller group sizes and for more accurate comparisons. Breeders participating in a common genetic evaluation program should therefore exchange their superior genetics and possibly use some common testing facilities for meaningful estimates of breeding values. Maintaining a good connectedness level will make the genetic evaluation program more useful for selection of superior breeding animals and achieving faster rate of genetic progress.展开更多
Social connectedness has been identified as a protective factor for a range of health issues however the literature is not conclusive. The high prevalence of hazardous alcohol consumption and mental health problems am...Social connectedness has been identified as a protective factor for a range of health issues however the literature is not conclusive. The high prevalence of hazardous alcohol consumption and mental health problems among university students along with the potential for the university as a setting for health promotion prompted this study. The study aims to explore the association between levels of alcohol consumption, mental health, social connectedness and social identity among university students. Online data were collected from a random sample of university undergraduate students (n = 2506) aged 18 - 24 years old. Outcomes were measured using the Alcohol Use Disorders Identification Test (AUDIT), the Kessler Psychological Distress Scale, Social Connectedness Scale, Social Identity Scale and measures of paid employment and study (hours), and participation in sports and other clubs. The majority of students had consumed alcohol in the last 12 months (87%). Of these students 38% reported to drink at hazardous levels (AUDIT ≥ 8). When all factors were considered: gender, living arrangements, being a domestic student, hours spent at work, participation in university and community sport, higher levels of psychological distress, higher levels of social connectedness, and lower levels of social identity were significant predictors of hazardous alcohol consumption. The finding highlights the need for the inclusion of integrated, multi-strategy health promotion interventions on campus. Further exploration of the associations between social connectedness and social identity as influences of health behaviors will better inform the development of targeted strategies for specific groups.展开更多
文摘This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethereum)and Islamic(Stellar and Ripple)cryptocurrencies.Using a novel time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach combined with a high frequency(hourly)dataset ranging from 1st June 2018 to 22nd July 2022,we find that(i)good and bad spillovers are time-varying;(ii)bad volatility spillovers are more pronounced than good spillovers;(iii)a strong asymmetry in the volatility spillovers exists in the cryptocurrency market;and(iv)conventional cryptocurrencies dominate Islamic cryptocurrencies.Specifically,Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.
文摘This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.
基金supported by the National Natural Science Foundation of China(71973001).
文摘An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.
基金the financial support of the Chaire Fintech AMF—Finance Montréal,Canada.Contract number 0007.
文摘The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets.This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19.Through the application of various statistical techniques,including cointegration tests,vector autoregressive models,vector error correction models,autoregressive distributed lag models,and Granger causality analyses,we explore the relationship between these markets and assess the safe-haven properties of gold and crude oil for cryptocurrencies.Our findings reveal that during the COVID-19 pandemic,gold is a strong safe-haven for Bitcoin,Litecoin,and Monero while demonstrating a weaker safe-haven potential for Bitcoin Cash,EOS,Chainlink,and Cardano.In contrast,gold only exhibits a strong safe-haven characteristic before the pandemic for Litecoin and Monero.Additionally,Brent crude oil emerges as a strong safe-haven for Bitcoin during COVID-19,while West Texas Intermediate and Brent crude oils demonstrate weaker safe-haven properties for Ether,Bitcoin Cash,EOS,and Monero.Furthermore,the Granger causality analysis indicates that before the COVID-19 pandemic,the causal relationship predominantly flowed from gold and crude oil toward the cryptocurrency markets;however,during the COVID-19 period,the direction of causality shifted,with cryptocurrencies exerting influence on the gold and crude oil markets.These findings provide subtle implications for policymakers,hedge fund managers,and individual or institutional cryptocurrency investors.Our results highlight the need to adapt risk exposure strategies during financial turmoil,such as the crisis precipitated by the COVID-19 pandemic.
基金support by the Humanities and Social Science Fund of Ministry of Education of China[Grant Number:23YJC850005]the Federal Ministry of Education,Science and Research(BMBWF)through Austria's Agency for Education and Internationalization(OeAD)[Grant Number:TW 01/2021].
文摘This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.
基金financial support from Ministerio de Ciencia e Innovación(MCIN/AEI/10.13039/501100011033)。
文摘This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era,using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al.(J Risk Financ Manag 13(4):84,2020).The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19,although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008.Furthermore,we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil,gold,and silver were the main net transmitters of shocks during the COVID-19 pandemic.In contrast,natural gas and palladium were the main net receivers of shocks during the entire sample period,making these two commodities attractive hedging and safe haven options for investors during the pandemic.Overall,our results suggest that hedging and diversification opportunities decrease during crises.Furthermore,they indicate that accurate forecasts of the volatility of several commodities,such as natural gas and different metals,can be obtained by exploiting the information content of crude oil.However,they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic.
基金supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422)partly funded by the University of Economics Ho Chi Minh City,Vietnam.
文摘We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile spillovers are higher than those at the median,meaning that connectedness augments at extremes.For normal,bearish,and bullish markets,Bitcoin Cash,Bitcoin,Ethereum,and Litecoin consistently remain net transmitters,while NFTs receive innovations.However,spillover topology at both extremes becomes simpler—from cryptocurrencies to NFTs.We find no markets useful for mitigating BTC risks,whereas BTC is capable of reducing the risk of other digital assets,which is a valuable insight for market players and investors.
文摘Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms;however,most existing research focuses on the first moment of the return distribution,which falls into the conventional models of choice under risk.Previous literature has observed the scarcity of investors’attention and processing power,which makes the traditional theory of choice under risk more vulnerable and brings the salience theory that accommodates investors’cognitive limitations to our attention.Motivated by evidence of salience theory value(STV)containing unique information not captured by traditional higher-order moments,we employ a quantile connectedness approach to examine the STV interconnectedness of China’s systemically important banks(C-SIBs).The quantile approach allows us to uncover the dynamic STV interconnectedness of C-SIBs under normal,bearish,and bullish market conditions and is well-suited to extreme risk problems.Our results show that the C-SIBs system is asymmetrically interconnected across quantiles and at higher levels under bullish than bearish market conditions.Principally,a bank’s performance in the C-SIBs system depends on its systemic importance and market conditions.Furthermore,the comparative analysis indicates that STV could provide more information than higher-order moments in capturing the dynamic change in the C-SIBs system and detecting some market events more precisely.These results have important implications for policymakers and market participants to formulate regulatory policy and design risk management strategies.
基金Supported by the Teaching Research Project of Hubei Province(2013469)the 12th Five-Year Project of Education Plan of Hubei Province(2014B379)
文摘In this paper, we study the connectedness of the invariant sets of a graph-directed iterated function system（IFS）. For a graph-directed IFS with N states, we construct N graphs. We prove that all the invariant sets are connected, if and only if all the N graphs are connected; in this case, the invariant sets are all locally connected and path connected. Our result extends the results on the connectedness of the self-similar sets.
文摘<strong>Background: </strong>Campus connectedness is a kind of social connectedness that determines the students’ perception of their belonging to the other populace of the campus that includes students, teachers, administrators, and other staff. Campus connectedness plays a significant role in determining stress, anxiety, and depression among students. The purpose of the study was to examine the relationship of campus connectedness to stress, anxiety, and depression among nursing students. <strong>Methods:</strong> This cross-sectional analytical study was conducted among 680 undergraduate nursing students from nine nursing colleges affiliated with a university in Kathmandu Valley. Data were collected from June 1, 2018, through July 10, 2018. Depression, Anxiety, Stress Scale and Campus Connectedness Scale were used to collect data. The data were analyzed using Statistical Package for Social Sciences version 23. A one-way multivariate analysis of variance (MANOVA) test was used to examine the relationship of campus connectedness to stress, anxiety, and depression. Discriminant analysis was done as a follow-up procedure to MANOVA. <strong>Results: </strong>Students had moderate to extremely severe levels of depression (51.7%), anxiety (72.9%) and stress (47%). High campus connectedness score was observed (M = 62.42;SD = 9.79). Statistically significant differences were found among the levels of campus connectedness on the outcome variables, Wilks’ lambda (<em>λ</em>) = 0.90, <em>F</em>(3, 676) = 24.56, <em>p</em> < 0.001. Depression demonstrated the strongest relationship with the discriminant function. <strong>Conclusions: </strong>There was a significant relationship of campus connectedness to stress, anxiety, and depression. Despite the high level of campus connectedness, students had moderate to severe levels of stress, anxiety, and depression. The campus adminstration must take measures and efforts to provide conducive environment and counseling services for the wellbeing of their students.
基金supported by Natural Science Foundation of Guangdong Province of China(990732)Science and Technology Research Foundation of Guangdong Province(2KM03508N)+1 种基金Major Scientific Research Project of Guangdong Province(2003A2010601)21 Century Talented Person Foundation of Educational Ministry,China
文摘Pig breeding is generally conducted among many herds, so EBV comparisons across populationsare necessary. Genetic connectedness is required for reliable between-farm animal EBV comparisons.Five quantitative overall connectedness measures among populations have been proposed so far,coefficient of connectedness(γ*), coefficient of determination (CD) and overall indices ofprecision, connectedness rating, number of direct genetic links between subpopulations due tocommon sires and dams (GLt), and average genetic covariance (AGC) are reviewed and theirproperties are discussed in this paper. It is recommended to use AGC at present for measuringgenetic connectedness between herds.
文摘This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.
文摘Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management.However,most existing research focuses on the lower-order moment nexus(i.e.the return and volatility interactions).For the first time,this study investigates the higher-order moment comovements and risk connectedness among cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains.We combine the realized moment measures and wavelet coherence,and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach(Chatziantoniou et al.in Integration and risk transmission in the market for crude oil a time-varying parameter frequency connectedness approach.Technical report,University of Pretoria,Department of Economics,2021)using intraday high-frequency data.The empirical results demonstrate that the comovement of realized volatility between BTC and other cryp-tocurrencies is stronger than that of the realized skewness,realized kurtosis,and signed jump variation.The comovements among cryptocurrencies are both time-dependent and frequency-dependent.Besides the volatility spillovers,the risk spillovers of high-order moments and jumps are also significant,although their magnitudes vary with moments,making them moment-dependent as well and are lower than volatility connectedness.Frequency connectedness demonstrates that the risk connectedness is mainly transmitted in the short term(1–7 days).Furthermore,the total dynamic connectedness of all realized moments is time-varying and has been significantly affected by the outbreak of the COVID-19 pandemic.Several practical implications are drawn for crypto investors,portfolio managers,regulators,and policymakers in optimizing their investment and risk management tactics.
文摘A fast interactive segmentation algorithm of image-sequences based on relative fuzzy connectedness is presented. In comparison with the original algorithm, the proposed one, with the same accuracy, accelerates the segmentation speed by three times for single image. Meanwhile, this fast segmentation algorithm is extended from single object to multiple objects and from single-image to image-sequences. Thus the segmentation of multiple objects from complex hackground and batch segmentation of image-sequences can be achieved. In addition, a post-processing scheme is incorporated in this algorithm, which extracts smooth edge with one-pixel-width for each segmented object. The experimental results illustrate that the proposed algorithm can obtain the object regions of interest from medical image or image-sequences as well as man-made images quickly and reliably with only a little interaction.
文摘Two pig populations were simulated with Monte Carlo method; each consisted of 5 boars and 50 sows per generation. Genetic connectedness between herds was established by randomly selecting 1 or 2 boars from one population to mate sows of the other population. Breeding pigs were selected within populations according to animal model BLUP. The benefits of genetic connectedness between herds were examined. The results showed that, the average coefficients of inbreeding decreased, while the cumulative selection responses of populations increased, and the higher response occurred randomly in the two populations at generation 5 with the increase of the genetic connectedness between herds. Selection response was affected by genetic connectedness and trait heritability, the lower heritability and higher connectedness, the better selection results. When the number of exchanged litters between populations per generation was 6 litters, the selection results reached a reflection point; if the number of exchanged litters between populations increased further from this point, neither the increase of the cumulative selection responses nor the decrease of coefficients of inbreeding was significant.
基金Foundation item： Supported by the National Natural Science Foundation of China（70071026）
文摘This paper deals with the connectedness of the cone-efficient solution set for vector optimization in locally convex Hausdorff topological vector spaces. The connectedness of the cone-efficient solution set is proved for multiobjective programming defined by a continuous one-to-one cone-quasiconvex mapping on a compact convex set of alternatives. During the proof, the generalized saddle theorem plays a key role.
基金support of Science Foundation Ireland under Grant Number 16/SPP/3347.
文摘We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.
文摘Estimating genetic connectedness among herds is important for the accuracy of dairy cattle genetic evaluation. When selecting between animals raised in different herds, the accuracy of their genetic evaluations can be influenced by the degree of connectedness among these herds. In this study, two methods were used to measure genetic connectedness, CR （genetic connectedness rating ） and GLt （total number of direct genetic links between group）, among herds from Beijing, Shanghai, and Tianjin. Genetic connectedness between the herds from Beijing and Tianjin was 23.95%, between Beijing and Shanghai was 17. 10%, and between Shanghai and Tianjin it was 14.28%. Genetic connectedness between herds from Beijing and Tianjin was the highest and that between Shanghai and Tianjin was the lowest. The correlation coefficient for the two methods was 0. 808. Some suggestions for improved genetic evaluation of dairy cattle were also discussed.
文摘“Connectedness” is an essential component of genetic evaluations. The degree of connectedness affects the accuracy of comparing estimated breeding values (EBVs) from one herd or contemporary group to the other. It can be measured through Connectedness Rating (CR) which is based on variances and covariance among the estimates of contemporary group effects. A computing algorithm and a computer program for estimating CR is available. The minimum required level of connectedness depends upon the size of the contemporary groups, the level of accuracy and the residual variance. About 48% CR is required to detect differences between EBVs that are greater than 20% of the standard deviation in the trait, for group sizes of about 100 animals. Higher levels are necessary for smaller group sizes and for more accurate comparisons. Breeders participating in a common genetic evaluation program should therefore exchange their superior genetics and possibly use some common testing facilities for meaningful estimates of breeding values. Maintaining a good connectedness level will make the genetic evaluation program more useful for selection of superior breeding animals and achieving faster rate of genetic progress.
文摘Social connectedness has been identified as a protective factor for a range of health issues however the literature is not conclusive. The high prevalence of hazardous alcohol consumption and mental health problems among university students along with the potential for the university as a setting for health promotion prompted this study. The study aims to explore the association between levels of alcohol consumption, mental health, social connectedness and social identity among university students. Online data were collected from a random sample of university undergraduate students (n = 2506) aged 18 - 24 years old. Outcomes were measured using the Alcohol Use Disorders Identification Test (AUDIT), the Kessler Psychological Distress Scale, Social Connectedness Scale, Social Identity Scale and measures of paid employment and study (hours), and participation in sports and other clubs. The majority of students had consumed alcohol in the last 12 months (87%). Of these students 38% reported to drink at hazardous levels (AUDIT ≥ 8). When all factors were considered: gender, living arrangements, being a domestic student, hours spent at work, participation in university and community sport, higher levels of psychological distress, higher levels of social connectedness, and lower levels of social identity were significant predictors of hazardous alcohol consumption. The finding highlights the need for the inclusion of integrated, multi-strategy health promotion interventions on campus. Further exploration of the associations between social connectedness and social identity as influences of health behaviors will better inform the development of targeted strategies for specific groups.
