Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Two Consistent Many-Valued Logics for Paraconsistent Phenomena

In this reviewing paper, we recall the main results of our papers [24, 31] where we introduced two paraconsistent semantics for Pavelka style fuzzy logic. Each logic formula a is associated with a 2 x 2 matrix called evidence matrix. The two semantics are consistent if they are seen from 'outside'; the structure of the set of the evidence matrices M is an MV-algebra and there is nothing paraconsistent there. However, seen from "inside,' that is, in the construction of a single evidence matrix paraconsistency comes in, truth and falsehood are not each others complements and there is also contradiction and lack of information (unknown) involved. Moreover, we discuss the possible applications of the two logics in real-world phenomena.