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2,051
Dynamic Conditional Correlation: A simple class of multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.
- Journal of Business & Economic Statistics
, 2002
"... Abstract Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed. These have the flexibility of univariate GARCH models ..."
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Cited by 711 (17 self)
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coupled with parsimonious parametric models for the correlations. They are not linear but can often be estimated very simply with univariate or two step methods based on the likelihood function. It is shown that they perform well in a variety of situations and provide sensible empirical results.
A Survey of Mobility Models for Ad Hoc Network Research
- WIRELESS COMMUNICATIONS & MOBILE COMPUTING (WCMC): SPECIAL ISSUE ON MOBILE AD HOC NETWORKING: RESEARCH, TRENDS AND APPLICATIONS
, 2002
"... In the performance evaluation of a protocol for an ad hoc network, the protocol should be tested under realistic conditions including, but not limited to, a sensible transmission range, limited buffer space for the storage of messages, representative data traffic models, and realistic movements of t ..."
Abstract
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Cited by 1213 (8 self)
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In the performance evaluation of a protocol for an ad hoc network, the protocol should be tested under realistic conditions including, but not limited to, a sensible transmission range, limited buffer space for the storage of messages, representative data traffic models, and realistic movements
Investing for the long run when returns are predictable
- Journal of Finance
, 2000
"... We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty, th ..."
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Cited by 444 (0 self)
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overallocate to stocks by a sizeable amount. ONE OF THE MORE STRIKING EMPIRICAL FINDINGS in recent financial research is the evidence of predictability in asset returns. 1 In this paper we examine the implications of this predictability for an investor seeking to make sensible portfolio allocation decisions
Developments in the Measurement of Subjective Well-Being
- Psychological Science.
, 1993
"... F or good reasons, economists have had a long-standing preference for studying peoples' revealed preferences; that is, looking at individuals' actual choices and decisions rather than their stated intentions or subjective reports of likes and dislikes. Yet people often make choices that b ..."
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Cited by 284 (7 self)
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by continuously adjusting a dial. These studies yield a temporal profile of moment-to-moment subjective experience. The results of these experiments provide some insights into more standard measures of satisfaction, and lend support for the usefulness of making a distinction between experienced utility
Sensible Learning The
"... post-industrial era or ‘new paradigm ’ of organizations that began to take form in the 1990s offered a vision of flatter, more flexible workplaces requiring different kinds of skills and knowledge capacities of workers. Organizations faced more dynamic and challenging environments that require diffe ..."
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different kinds of talent – the need to hire knowledgeable and innovative individuals who would also demand more meaningful work assignments and greater autonomy in their execution. While critics argue over the degree to which the resulting workplaces have truly been reinvented, a recent Business Week
The relation between treasury yields and corporate bond yield spreads
- Journal of Finance
, 1998
"... Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment-grade co ..."
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Cited by 222 (0 self)
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-grade corporate bonds. Although yield spreads on both callable and noncallable corporate bonds fall when Treasury yields rise, this relation is much stronger for callable bonds. This result has important implications for interpreting the behavior of yields on commonly used corporate bond indexes, which
Implications of dynamic factor models for VAR analysis
- NBER, WORKING PAPER
, 2005
"... This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based on ..."
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Cited by 162 (5 self)
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, and sensible results for a SVAR that identifies money policy shocks using timing restrictions.
The sensible graph theories of lambda calculus
- IN: 19TH ANNUAL IEEE SYMPOSIUM ON LOGIC IN COMPUTER SCIENCE (LICS’04), IEEE COMPUTER
, 2004
"... Sensible λ-theories are equational extensions of the untyped lambda calculus that equate all the unsolvable λ-terms and are closed under derivation. A longstanding open problem in lambda calculus is whether there exists a nonsyntactic model whose equational theory is the least sensible λ-theory H (g ..."
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Cited by 12 (9 self)
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conjecture that the least sensible graph theory, where “graph theory ” means “λ-theory of a graph model”, is equal to H, while in the main result of the paper we characterize the greatest sensible graph theory as the λ-theory B generated by equating λ-terms with the same Böhm tree. This result is a
EM Algorithms for PCA and Sensible PCA
- California Institute of Technology, Computation and Neural Systems
, 1997
"... I present an expectation-maximization (EM) algorithm for principal component analysis (PCA). The algorithm allows a few eigenvectors and eigenvalues to be extracted from large collections of high dimensional data. It is computationally ecient in space and time and does not require computing the samp ..."
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Cited by 8 (0 self)
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the sample covariance of the data. It also naturally accommodates missing information. I introduce a new variation of PCA known as sensible principal component analysis (SPCA) which defines a proper density model in the data space. Learning for SPCA is also done with an EM algorithm. I include results
Sense and Sensibility in a Pervasive World
"... Abstract. The increasing popularity of location based social services such as Facebook Places, Foursquare and Google Latitude, solicits a new trend in fusing social networking with real world sensing. The availability of a wide range of sensing technologies in our everyday environment presents an op ..."
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Cited by 8 (4 self)
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. By utilizing surveys, interviews and experience sampling techniques, we report on our findings regarding privacy and user experience issues, and significant factors that can affect acceptability of such services by the users. Our results suggest that such systems deliver significant value in the form of self
Results 1 - 10
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2,051