Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.

Weak Polynomial Identities for M1,1(E)

* Partially supported by Universita` di Bari: progetto “Strutture algebriche, geometriche e descrizione degli invarianti ad esse associate”.

Polynomial Automorphisms Over Finite Fields

It is shown that the invertible polynomial maps over a finite field Fq , if looked at as bijections Fn,q −→ Fn,q , give all possible bijections in the case q = 2, or q = p^r where p > 2. In the case q = 2^r where r > 1 it is shown that the tame subgroup of the invertible polynomial maps gives only the even bijections, i.e. only half the bijections. As a consequence it is shown that a set S ⊂ Fn,q can be a zero set of a coordinate if and only if #S = q^(n−1).

Dubrovin Type Equations for Completely Integrable Systems Associated with a Polynomial Pencil

Dubrovin type equations for the N -gap solution of a completely integrable system associated with a polynomial pencil is constructed and then integrated to a system of functional equations. The approach used to derive those results is a generalization of the familiar process of finding the 1-soliton (1-gap) solution by integrating the ODE obtained from the soliton equation via the substitution u = u(x + λt).

Quadratic Mean Radius of a Polynomial in C(Z)

* Dedicated to the memory of Prof. N. Obreshkoff

Application of the Multivariate Prediction Method to Time Series

* This work was financially supported by RFBR-04-01-00858.

Polynomial Expansions for Solutions of Higher-Order Bessel Heat Equation in Quantum Calculus

Mathematics Subject Class.: 33C10,33D60,26D15,33D05,33D15,33D90

The Eccentric Connectivity Polynomial of some Graph Operations

The eccentric connectivity index of a graph G, ξ^C, was proposed by Sharma, Goswami and Madan. It is defined as ξ^C(G) = ∑ u ∈ V(G) degG(u)εG(u), where degG(u) denotes the degree of the vertex x in G and εG(u) = Max{d(u, x) | x ∈ V (G)}. The eccentric connectivity polynomial is a polynomial version of this topological index. In this paper, exact formulas for the eccentric connectivity polynomial of Cartesian product, symmetric difference, disjunction and join of graphs are presented.

On Arrangements of Real Roots of a Real Polynomial and Its Derivatives

2000 Mathematics Subject Classification: 12D10.

Z2-Graded Polynomial Identities for Superalgebras of Block-Triangular Matrices

000 Mathematics Subject Classification: Primary 16R50, Secondary 16W55.

On the Factorization of the Poincaré Polynomial: A Survey

2000 Mathematics Subject Classification: 13P05, 14M15, 14M17, 14L30.

Binomial Skew Polynomial Rings, Artin-Schelter Regularity, and Binomial Solutions of the Yang-Baxter Equation

2000 Mathematics Subject Classification: Primary 81R50, 16W50, 16S36, 16S37.

On Root Arrangements of Polynomial-Like Functions and their Derivatives

2000 Mathematics Subject Classification: 12D10.

A Geometrical Construction for the Polynomial Invariants of some Reflection Groups

2000 Mathematics Subject Classification: Primary 20F55, 13F20; Secondary 14L30.

Operators with Polynomial Coefficients and Generalized Gelfand-Shilov Classes

2010 Mathematics Subject Classification: Primary 35S05, 35J60; Secondary 35A20, 35B08, 35B40.