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Results 1 - 10
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17,579
A yield-factor model of interest rates
- Math. Finance
, 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract
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Cited by 665 (23 self)
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This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a
The design and implementation of FFTW3
- PROCEEDINGS OF THE IEEE
, 2005
"... FFTW is an implementation of the discrete Fourier transform (DFT) that adapts to the hardware in order to maximize performance. This paper shows that such an approach can yield an implementation that is competitive with hand-optimized libraries, and describes the software structure that makes our cu ..."
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Cited by 726 (3 self)
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FFTW is an implementation of the discrete Fourier transform (DFT) that adapts to the hardware in order to maximize performance. This paper shows that such an approach can yield an implementation that is competitive with hand-optimized libraries, and describes the software structure that makes our
Evaluating the use of exploratory factor analysis in psychological research
- PSYCHOLOGICAL METHODS
, 1999
"... Despite the widespread use of exploratory factor analysis in psychological research, researchers often make questionable decisions when conducting these analyses. This article reviews the major design and analytical decisions that must be made when conducting a factor analysis and notes that each of ..."
Abstract
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Cited by 524 (4 self)
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of these decisions has important consequences for the obtained results. Recommendations that have been made in the methodological literature are discussed. Analyses of 3 existing empirical data sets are used to illustrate how questionable decisions in conducting factor analyses can yield problematic results
LogP: Towards a Realistic Model of Parallel Computation
, 1993
"... A vast body of theoretical research has focused either on overly simplistic models of parallel computation, notably the PRAM, or overly specific models that have few representatives in the real world. Both kinds of models encourage exploitation of formal loopholes, rather than rewarding developme ..."
Abstract
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Cited by 560 (15 self)
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development of techniques that yield performance across a range of current and future parallel machines. This paper offers a new parallel machine model, called LogP, that reflects the critical technology trends underlying parallel computers. It is intended to serve as a basis for developing fast, portable
Search and replication in unstructured peer-to-peer networks
, 2002
"... Abstract Decentralized and unstructured peer-to-peer networks such as Gnutella are attractive for certain applicationsbecause they require no centralized directories and no precise control over network topologies and data placement. However, the flooding-based query algorithm used in Gnutella does n ..."
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Cited by 692 (6 self)
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propose a query algorithm based on multiple random walks that resolves queries almost as quickly as gnutella's flooding method while reducing the network traffic by two orders of mag-nitude in many cases. We also present a distributed replication strategy that yields close-to-optimal performance
Constrained model predictive control: Stability and optimality
- AUTOMATICA
, 2000
"... Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence and t ..."
Abstract
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Cited by 738 (16 self)
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Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence
Loopy belief propagation for approximate inference: An empirical study. In:
- Proceedings of Uncertainty in AI,
, 1999
"... Abstract Recently, researchers have demonstrated that "loopy belief propagation" -the use of Pearl's polytree algorithm in a Bayesian network with loops -can perform well in the context of error-correcting codes. The most dramatic instance of this is the near Shannon-limit performanc ..."
Abstract
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Cited by 676 (15 self)
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;belief revision") version, Weiss For the case of networks with multiple loops, Richard son To summarize, what is currently known about loopy propagation is that ( 1) it works very well in an error correcting code setting and (2) there are conditions for a single-loop network for which it can be guaranteed
Multiple kernel learning, conic duality, and the SMO algorithm
- In Proceedings of the 21st International Conference on Machine Learning (ICML
, 2004
"... While classical kernel-based classifiers are based on a single kernel, in practice it is often desirable to base classifiers on combinations of multiple kernels. Lanckriet et al. (2004) considered conic combinations of kernel matrices for the support vector machine (SVM), and showed that the optimiz ..."
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Cited by 445 (31 self)
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the technique of Moreau-Yosida regularization to yield a formulation to which SMO techniques can be applied. We present experimental results that show that our SMO-based algorithm is significantly more efficient than the general-purpose interior point methods available in current optimization toolboxes. 1.
The Determinants of Credit Spread Changes.
- Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract
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Cited by 422 (2 self)
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at both the individual firm level (see, for example, Kwan (1996)) and portfolio level (see, for example, Blume, Keim and Patel (1991), and Cornell and Green (1991)). These studies focus on corporate bond returns, or yield changes. The main conclusions of these papers are: (1) high-grade bonds behave
Monetary Policy Rules Based on Real-Time Data
- BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM FINANCE AND ECONOMICS DISCUSSION PAPER SERIES
, 1997
"... In recent years, simple policy rules have received attention as a means to a more transparent and effective monetary policy. Often, however, the analysis is based on unrealistic assumptions about the timeliness of data availability. This permits rule specifications that are not operational and ignor ..."
Abstract
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Cited by 431 (18 self)
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and ignore difficulties associated with data revisions. This paper examines the magnitude of these informational problems using Taylor's rule as an example. First, I construct a database of current quarter estimates/forecasts of the quantities required by the rule based only on information available
Results 1 - 10
of
17,579
