The Multiplicative MIDAS Realized DCC (MMReDCC) model simultaneously accounts for short and long term dynamics in the conditional (co)volatilities of asset returns, in line with the empirical evidence suggesting that ...
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The Multiplicative MIDAS Realized DCC (MMReDCC) model simultaneously accounts for short and long term dynamics in the conditional (co)volatilities of asset returns, in line with the empirical evidence suggesting that their level is changing over time as a function of economic conditions. Herein the applicability of the model is improved along two directions. First, by proposing an algorithm that relies on the maximization of an iteratively re-computed moment-based profile likelihood function and keeps estimation feasible in large dimensions by mitigating the incidental parameter problem. Second, by illustrating a conditional bootstrap procedure to generate multi-step ahead predictions from the model. In an empirical application on a dataset of forty-six equities, the MMReDCC model is found to statistically outperform the selected benchmarks in terms of in-sample fit as well as in terms of out-of-sample covariance predictions. The latter are mostly significant in periods of high market volatility. (c) 2016 ECOSTA ECONOMETRICS AND STATISTICS. Published by Elsevier B.V. All rights reserved.
An improved MMSE method aimed to reduce the computational burden is proposed in this paper. In the method, the covariance matrix inversion is approximated by the expansion of N-order polynomials of weighted Kapteyn se...
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ISBN:
(纸本)9781538620625
An improved MMSE method aimed to reduce the computational burden is proposed in this paper. In the method, the covariance matrix inversion is approximated by the expansion of N-order polynomials of weighted Kapteyn series which has low truncation errors. In this method, an unconstrained non-linear optimization model is established and an iterative algorithm based on coordinate rotation is used to solve this problem. Analysis and numerical results show that the mean square error (MSE) of our proposed weighted Kapteyn-MMSE estimation approaches MMSE performance quickly when the series order of N is increasing, while the computational complexity of this method is significantly reduced. And the proposed method improves the convergence to ordinary MMSE performance when compared to traditional Taylor-MMSE estimator or Kapteyn-MMSE, which means the latter needs a higher N-order than the former to approach MMSE estimation.
For a convex programming problem in a Hilbert space with operator equality constraints, the Lagrange principle in sequential nondifferential form or, in other words, the regularized Lagrange principle in iterative for...
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Taking into account saturation of electrical machine's magnetic circuit is still a problem when circuit models are used. Steady-states are usually determined in such cases by numerical integration of the machine d...
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ISBN:
(纸本)9781538603598
Taking into account saturation of electrical machine's magnetic circuit is still a problem when circuit models are used. Steady-states are usually determined in such cases by numerical integration of the machine dynamic equations in time long enough. The paper presents a method which allows finding steady-state solutions directly in time domain. The method is presented along with computational example for a simple electromechanical converter.
A microwave tomographic system is used to evaluate the realistic breast phantom developed at the Supelec institute. The system utilizes 16 monopole antennas and a modern vector network analyzer (VNA) to measure the ph...
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Clock synchronization is a well-studied problem with many practical and scientific *** propose an arbitrary accuracy iterative quantum algorithm for distributed clock synchronization using only three *** n bits of the...
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Clock synchronization is a well-studied problem with many practical and scientific *** propose an arbitrary accuracy iterative quantum algorithm for distributed clock synchronization using only three *** n bits of the time difference between two spatially separated clocks can be deterministically extracted by communicating only O（n） messages and executing the quantum iteration process n times based on the classical feedback and measurement ***,we also give the algorithm using only two qubits and discuss the success probability of the algorithm.
A two-stage least squares based iterative (two-stage LSI) identification algorithm is derived for controlled autoregressive moving average (CARMA) systems. The basic idea is to decompose a CARMA system into two subsys...
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A two-stage least squares based iterative (two-stage LSI) identification algorithm is derived for controlled autoregressive moving average (CARMA) systems. The basic idea is to decompose a CARMA system into two subsystems and to identify each subsystem, respectively. Because the dimensions of the involved covariance matrices in each subsystem become small, the proposed algorithm has a high computational efficiency. The simulation results indicate that the proposed algorithm is effective. (C) 2011 Elsevier Ltd. All rights reserved.
The influence of channels' amplitude and phase errors on target position precision was simulated and analyzed based on the principle of binary array orientation. We calculated ratios of channels' electric fiel...
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ISBN:
(纸本)9781467317993
The influence of channels' amplitude and phase errors on target position precision was simulated and analyzed based on the principle of binary array orientation. We calculated ratios of channels' electric field intensity corresponding to different target positions. An iterative algorithm which used in channel calibration of four-element-array target simulator is designed. Experimental results prove that it can satisfy the requirements of high accuracy, and is applicable to a lot of target simulation systems.
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