A signal processing technique is presented to improve the angular rate accuracy of Micro-Electro-Mechanical System (MEMS) gyroscope by combining numerous gyroscopes. Based on the conditional correlation between gyroscopes, a dynamic data fusion model is established. Firstly, the gyroscope error model is built through Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process to i...

New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix is specified in two steps: a model for each realized variance, and a model for the realized correlation matrix. The realized correlation model is a dynamic conditional correlation model. Estimation can be done in two steps as well, and a QML interpretation is given to each step...

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators (QMLE). To date, the statistical properties of the QMLE of the DCC...

One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpf...

As the world’s largest exporter and second-largest importer, China has made exchange rate stability a top priority for its economic growth. With development over decades, however, now holds excess dollar reserves that have suffered huge paper loss because of quantitative easing in United States. In this reality, been provoked into speeding RMB internationalization as strategy to reduce cost get...