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68,478
Modeling and Forecasting Realized Volatility
, 2002
"... this paper is built. First, although raw returns are clearly leptokurtic, returns standardized by realized volatilities are approximately Gaussian. Second, although the distributions of realized volatilities are clearly right-skewed, the distributions of the logarithms of realized volatilities are a ..."
Abstract
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Cited by 544 (53 self)
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-frequency models, we find that our simple Gaussian VAR forecasts generally produce superior forecasts. Furthermore, we show that, given the theoretically motivated and empirically plausible assumption of normally distributed returns conditional on the realized volatilities, the resulting lognormal-normal mixture
Image denoising using a scale mixture of Gaussians in the wavelet domain
- IEEE TRANS IMAGE PROCESSING
, 2003
"... We describe a method for removing noise from digital images, based on a statistical model of the coefficients of an overcomplete multiscale oriented basis. Neighborhoods of coefficients at adjacent positions and scales are modeled as the product of two independent random variables: a Gaussian vecto ..."
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Cited by 514 (17 self)
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We describe a method for removing noise from digital images, based on a statistical model of the coefficients of an overcomplete multiscale oriented basis. Neighborhoods of coefficients at adjacent positions and scales are modeled as the product of two independent random variables: a Gaussian vector and a hidden positive scalar multiplier. The latter modulates the local variance of the coefficients in the neighborhood, and is thus able to account for the empirically observed correlation between the coefficient amplitudes. Under this model, the Bayesian least squares estimate of each coefficient reduces to a weighted average of the local linear estimates over all possible values of the hidden multiplier variable. We demonstrate through simulations with images contaminated by additive white Gaussian noise that the performance of this method substantially surpasses that of previously published methods, both visually and in terms of mean squared error.
Empirical exchange rate models of the Seventies: do they fit out of sample?
- JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exch ..."
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Cited by 831 (12 self)
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This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar
Analysis, Modeling and Generation of Self-Similar VBR Video Traffic
, 1994
"... We present a detailed statistical analysis of a 2-hour long empirical sample of VBR video. The sample was obtained by applying a simple intraframe video compression code to an action movie. The main findings of our analysis are (1) the tail behavior of the marginal bandwidth distribution can be accu ..."
Abstract
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Cited by 546 (6 self)
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We present a detailed statistical analysis of a 2-hour long empirical sample of VBR video. The sample was obtained by applying a simple intraframe video compression code to an action movie. The main findings of our analysis are (1) the tail behavior of the marginal bandwidth distribution can
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
, 1999
"... We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of ..."
Abstract
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Cited by 1427 (68 self)
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with consumption. The model is driven by an independently and identically distributed consumption growth process and adds a slow-moving external habit to the standard power utility function. These features generate slow countercyclical variation in risk premia. The model posits a fundamentally novel description
Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options
, 1993
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Expected stock returns and volatility
- Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 674 (9 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility. 1.
Regression quantiles
- Econometrica
, 1978
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 870 (19 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
Empirical performance of alternative option pricing models
- Journal of Finance
, 1997
"... reserved. Readers may make verbatim copies of this document for non-commercial purposes by any means, provided that this copyright notice appears on all such copies. ..."
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Cited by 676 (18 self)
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reserved. Readers may make verbatim copies of this document for non-commercial purposes by any means, provided that this copyright notice appears on all such copies.
Results 1 - 10
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68,478