The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...

T. Antoni a, W. D. Apel b, A.F. Badea a,1,K. Bekk b, A. Bercuci b, H. Blümer b,a, H. Bozdog c, I. M. Brancus c, C. Büttner a, A. Chilingarian d, K. Daumiller a, P. Doll b, J. Engler b, F. Feßler b, H. J. Gils b, R. Glasstetter a, R. Haeusler a, A. Haungs b, D. Heck b, J. R. Hörandel a, A. Iwan a,2,K.-H. Kampert a,b, H. O. Klages b, G. Maier b, H.-J. Mathes b, H. J. Mayer b, J. Milke a, M. Mülle...

Radio detection of cosmic ray air showers with LOPES T. Huege, W.D. Apel, T. Asch, A.F. Badea, L. Bähren, K. Bekk, A. Bercuci, M. Bertaina, P.L. Biermann , J. Blümer, H. Bozdog, I.M. Brancus, S. Buitink, M. Brüggemann, P. Buchholz, H. Butcher, A. Chiavassa, F. Cossavella, K. Daumiller, F. Di Pierro, P. Doll, R. Engel, H. Falcke, H. Gemmeke, P.L. Ghia, R. Glasstetter, C. Grupen, A. Hakenjos, A. ...

X iv :a st ro -p h/ 04 12 61 0v 1 2 3 D ec 2 00 4 KASCADE: Astrophysical results and tests of hadronic interaction models A. Haungs, T. Antoni, W.D. Apel, A.F. Badea, K. Bekk, A. Bercuci, H. Blümer, H. Bozdog, I.M. Brancus, C. Büttner, A. Chilingarian, K. Daumiller, P. Doll, R. Engel, J. Engler, F. Feßler, H.J. Gils, R. Glasstetter, D. Heck, J.R. Hörandel, K.-H. Kampert, H.O. Klages, G. Maier, ...

In this paper, we investigate cross-correlations between nonferrousmetal spot and futures markets using detrended cross-correlation analysis (DCCA). We find the existence of significant cross-correlations for both return and volatility series. The DCCA-based crosscorrelation coefficients are very high and decrease with the futures maturity increases. Using the multifractal extension of DCCA, th...

This paper investigates how China’s stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The res...