### TABLE 2. Model Time-Varying Inputs

2007

"... In PAGE 33: ...TABLE2 . Model Time-Varying Inputs (cont.... ..."

### Table 6 Time-Varying Correlation between dX and dY

"... In PAGE 27: ...he theoretical literature on option pricing under stochastic volatility #5Be.g. Hull and White #281987#29 or Stein and Stein #281991#29#5D. Table6 allows this correlation to depend on the log exchange rate #28model B#29, the interest rate di#0Berential #28model C#29, or the volatility of the exchange rate #28model D#29. Each line in the table presents only estimates of #1A 0 , #1A 1 , and #1A 2 of the speci#0Ccation #2838#29, along with the resulting log likelihood of the model.... In PAGE 28: ... 4.3 Implications for Currency Markets With time-varying market price of currency risk #28model D in Table 4#29 and time-varying correlation between innovations to the log exchange rate and innovations to its volatility #28model B in Table6 #29, our estimated model is: dr t =0:240 , 0:034 , r t #01 dt +0:047 p r t dW t ; dr t #03 =1:069 , 0:070 , r t #03 #01 dt +0:093 p r t #03 dW t #03 ; #2842#29 de t = h , r t , r t #03 #01 + #10 , 4:063 , 29:817v t #01 + , , 0:230 #01, , 0:194 #01 p r t #11 v t , 1 2 v t 2 i dt + v t dX t ; dv t =4:073 , 0:102 , v t #01 dt +0:305 p v t dY t ; where Corr 2 6 6 6 6 4 dW t dW t #03 dX t dY t 3 7 7 7 7 5 = 2 6 6 6 6 4 1:000 ,0:205 1:000 ,0:230 0:056 1:000 0:059 ,0:006 #1A xy 1:000 3 7 7 7 7 5 #2843#29 and #1A xy =2 exp #08 1:573 , 3:217e t #09 1 + exp #08 1:573 , 3:217e t #09 , 1: #2844#29 This model has some interesting implications for the currency spot and options markets. 4.... ..."

### Table 7: The encoded frame position for time-varying CBR channels.

1999

"... In PAGE 17: ...0817 0.3908 56 Also, we can see the encoded frame position for time-varying CBR channels in Table7 . Note that the proposed frame rate control algorithm avoids the abrupt encoded frame interval change, which can degrade the perceived qualityobviously.... ..."

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### TABLE 2. Model Time-Varying Inputs (cont.)

2007

"... In PAGE 32: ...TABLE2 . Model Time-Varying Inputs Tax rates Openness Per US Relative Capita Foreign Year Dividends Pro ts ROW US Size US Debt Shares 1960 .... ..."

### Table 1: Time-varying parameters of the model in simula-

"... In PAGE 2: ... 1955, Fant 1960, Kent 1972, Kent et al. 1972n29 suggests that the signin0ccant model pa- rameters are those listed in Table1 , and that their temporal variation may take the form of a sigmoidal function.... ..."

### Table 2: Estimation results for the time-varying parameter model

### Table 4 Time-Varying Market Price of Currency Risk

"... In PAGE 25: ... To the extent that #20 and #20 #03 are time-varying, or that the correlation #1A zz #03 is time-varying, the sign of the currency risk premium may also be time-varying. Table4 allows the market price of currency risk to depend on the level of the exchange rate #28#20 t = #20 0 + #20 1 e t , model B#29, the interest rate di#0Berential #28#20 t = #20 0 + #20 2 #28r t , r t #03 #29, model C#29, or the volatility of the exchange rate #28#20 t = #20 0 + #20 3 v t , model D#29. Each line in the table presents only estimates of #20 0 , #20 1 , and #20 2 , along with the resulting log likelihood of the model.... In PAGE 25: ... However, when we let the market price of currency risk depend on both the level and the volatility of the exchange rate #28model E#29, only the dependence on the volatility remains signi#0Ccant. Plot A of Figure 5 shows a decomposition of the exchange rate drift with a time-varying market price of currency risk #28model D in Table4 #29. The solid line is the interest rate di#0Berential, the dashed line is the currency risk premium, and the dotted line is the interest rate risk premium.... In PAGE 26: ... Studies by Baillie and Bollerslev #281989,1990#29, Bekaert and Hodrick #281993#29, and Domowitz and Hakkio #281985#29, #0Cnd only weak support for the inclusion of the conditional exchange rate volatility in the exchange rate drift. The evidence presented in Table4 and in Figure 5 is much stronger for two reasons. We impose an economic model, which implies a speci#0Cc functional form for the drift, and we observe the instantaneous volatility of the exchange rate, rather than infer it with error from observed changes in the exchange rate.... In PAGE 28: ... 4.3 Implications for Currency Markets With time-varying market price of currency risk #28model D in Table4 #29 and time-varying correlation between innovations to the log exchange rate and innovations to its volatility #28model B in Table 6#29, our estimated model is: dr t =0:240 , 0:034 , r t #01 dt +0:047 p r t dW t ; dr t #03 =1:069 , 0:070 , r t #03 #01 dt +0:093 p r t #03 dW t #03 ; #2842#29 de t = h , r t , r t #03 #01 + #10 , 4:063 , 29:817v t #01 + , , 0:230 #01, , 0:194 #01 p r t #11 v t , 1 2 v t 2 i dt + v t dX t ; dv t =4:073 , 0:102 , v t #01 dt +0:305 p v t dY t ; where Corr 2 6 6 6 6 4 dW t dW t #03 dX t dY t 3 7 7 7 7 5 = 2 6 6 6 6 4 1:000 ,0:205 1:000 ,0:230 0:056 1:000 0:059 ,0:006 #1A xy 1:000 3 7 7 7 7 5 #2843#29 and #1A xy =2 exp #08 1:573 , 3:217e t #09 1 + exp #08 1:573 , 3:217e t #09 , 1: #2844#29 This model has some interesting implications for the currency spot and options markets. 4.... ..."

### Table 3: Fixed Weight versus Time-Varying Weight Strategies

2004

"... In PAGE 16: ...Evaluating Trading Strategies 4.1 One-Period Portfolio Choice Table3 highlights the importance of conditioning information in the context of static portfolio choice. There is a substantial increase in the maximal Sharpe Ratio that one can obtain by using the predictive variables.... In PAGE 16: ...4% increment in annual return. The standard errors in Table3 , and standard errors and confidence bands in sub- sequent tables and figures, are generated in a parametric bootstrap. Returns and pre- dictive variables are modeled as a VAR(1) where the residuals are re-sampled.... ..."

### Table 3: Performance comparison under time-varying CBR for the Salesman sequence.

1999

Cited by 11

### Table 4: Performance comparison under time-varying CBR for the SilentVoice sequence.

1999

Cited by 11