Results 1 - 10
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9,392
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 549 (50 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
The control of the false discovery rate in multiple testing under dependency
- Annals of Statistics
, 2001
"... Benjamini and Hochberg suggest that the false discovery rate may be the appropriate error rate to control in many applied multiple testing problems. A simple procedure was given there as an FDR controlling procedure for independent test statistics and was shown to be much more powerful than comparab ..."
Abstract
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Cited by 1093 (16 self)
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for positive dependency is general enough to cover many problems of practical interest, including the comparisons of many treatments with a single control, multivariate normal test statistics with positive correlation matrix and multivariate t. Furthermore, the test statistics may be discrete, and the tested
High dimensional graphs and variable selection with the Lasso
- ANNALS OF STATISTICS
, 2006
"... The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from data. We show that neighborhood selection with the Lasso is a ..."
Abstract
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Cited by 736 (22 self)
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The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from data. We show that neighborhood selection with the Lasso
Extreme Correlation of International Equity Markets
- JOURNAL OF FINANCE
, 2001
"... Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that i ..."
Abstract
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Cited by 414 (2 self)
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, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using “extreme value theory ” to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data
Direct least Square Fitting of Ellipses
, 1998
"... This work presents a new efficient method for fitting ellipses to scattered data. Previous algorithms either fitted general conics or were computationally expensive. By minimizing the algebraic distance subject to the constraint 4ac - b² = 1 the new method incorporates the ellipticity constraint ..."
Abstract
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Cited by 430 (3 self)
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into the normalization factor. The proposed method combines several advantages: (i) It is ellipse-specific so that even bad data will always return an ellipse; (ii) It can be solved naturally by a generalized eigensystem and (iii) it is extremely robust, efficient and easy to implement.
Policy gradient methods for reinforcement learning with function approximation.
- In NIPS,
, 1999
"... Abstract Function approximation is essential to reinforcement learning, but the standard approach of approximating a value function and determining a policy from it has so far proven theoretically intractable. In this paper we explore an alternative approach in which the policy is explicitly repres ..."
Abstract
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Cited by 439 (20 self)
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, if s was sampled from the distribution obtained by following π, then a ∂π(s,a) ∂θ Q π (s, a) would be an unbiased estimate of ∂ρ ∂θ . Of course, Q π (s, a) is also not normally known and must be estimated. One approach is to use the actual returns, corrects for the oversampling of actions preferred by π), which
Correlation And Dependence In Risk Management: Properties And Pitfalls
- RISK MANAGEMENT: VALUE AT RISK AND BEYOND
, 1999
"... Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (non-time-dependent) case and emphasizes the copula representation of dependence for a random vector. Linear correlation is a natural dependence measure ..."
Abstract
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Cited by 338 (39 self)
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measure for multivariate normally and, more generally, elliptically distributed risks but other dependence concepts like comonotonicity and rank correlation should also be understood by the risk management practitioner. Using counterexamples the falsity of some commonly held views on correlation
Parallel Computation of Multivariate Normal Probabilities
"... We present methods for the computation of multivariate normal probabilities on parallel/ distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasirandom methods. We propose a meta-algorithm for asynchronous sampling methods and d ..."
Abstract
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Cited by 217 (9 self)
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We present methods for the computation of multivariate normal probabilities on parallel/ distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasirandom methods. We propose a meta-algorithm for asynchronous sampling methods
The distribution of realized exchange rate volatility,
- Journal of the American Statistical Association
, 2001
"... Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximatel ..."
Abstract
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Cited by 333 (29 self)
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Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also
Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities
, 1991
"... The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Student-t distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate of the probabil ..."
Abstract
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Cited by 211 (10 self)
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The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Student-t distributions is described. It is shown how the accuracy and convergence of integrals based on the Gibbs sample may be constructed, and how an estimate
Results 1 - 10
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9,392