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Cholesky GAS models for large time-varying covariance matrices

Journal of Management Science and Engineering 2024年第1期9卷 115-142页

作者： Tingguo Zheng Shiqi Ye Department of Statistics and Data Science School of EconomicsXiamen UniversityXiamen361005China Wang Yanan institute for studies in economics Xiamen UniversityXiamen361005China paula and gregory chow institute for studies in economics Xiamen UniversityXiamen361005China

This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices,called Cholesky generalized autoregressive score(GAS)models,which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are ***,two types of score-driven updates are considered:one is closer to the GARCH family,and the other is inspired by the stochastic volatility *** demonstrate that the models can be estimated equation-wise and are computationally feasible for high-dimensional ***,we design an equationwise dynamic model averaging or selection algorithm which simultaneously extracts model and parameter uncertainties,equipped with dynamically estimated model *** simulation results illustrate the superiority of the proposed ***,using a sizeable daily return dataset that includes 124 sectors in the Chinese stock market,two empirical studies with a small sample and a full sample are conducted to verify the advantages of our *** full sample analysis by a dynamic correlation network documents significant structural changes in the Chinese stock market before and after COVID-19.

关键词： Cholesky decomposition GAS Dynamic conditional correlations Dynamic model averaging

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Evolution of China's Role in the Structure of Global Carbon Emission Transfers:An Empirical Analysis Based on Network Governance

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China & World Economy 2024年第1期32卷 130-166页

作者： Bingbing Zhang Lelan Kong Zhehong Xu Chuanwang Sun School of economics and Management Nanjing Agricultural University Jiangsu Provincial Center for Agricultural Foreign Cooperation and Communication China paula and gregory chow institute for studies in economics Xiamen UniversityChina China Center for Energy economics Research School of Economics and MOE Key Laboratory of EconometricsXiamen UniversityChina

This paper reconsiders the roles of China and some developed countries in the network of carbon emission transfers via international trade in value added from a new perspective of network *** search intensity(NSI)and the extended gravity model are used with cross-country panel data to analyze the mechanism of China's engagement in network governance of carbon emission *** results show that from 2000 to 2009,China was a net exporter of carbon emissions,even though it shifted from the semi-periphery to the core in the network of carbon emissions embodied in ***,NSI had a significant positive impact on carbon emissions embodied in *** China's important role in the global production network and division of labor,NSI may also affect industrial structure and the quality of the ecological environment to a large *** study analyses the network governance mechanism of China's participation in global carbon *** results suggest that the technical complexity of export products and product heterogeneity do not change the positive impact of NSI on carbon emissions.

关键词： carbon emission transfers gravity model network governance network search intensity

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