Results 1 - 10 of 115,182

Modeling and Forecasting Realized Volatility

by Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys , 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 - Cited by 549 (50 self) - Add to MetaCart
: a fractionally-integrated Gaussian vector autoregression (VAR) . Importantly, our approach explicitly permits measurement errors in the realized volatilities. Comparing the resulting volatility forecasts to those obtained from currently popular daily volatility models and more complicated high

Models and issues in data stream systems

by Brian Babcock, Shivnath Babu, Mayur Datar, Rajeev Motwani, Jennifer Widom - IN PODS , 2002
"... In this overview paper we motivate the need for and research issues arising from a new model of data processing. In this model, data does not take the form of persistent relations, but rather arrives in multiple, continuous, rapid, time-varying data streams. In addition to reviewing past work releva ..."
Abstract - Cited by 786 (19 self) - Add to MetaCart
In this overview paper we motivate the need for and research issues arising from a new model of data processing. In this model, data does not take the form of persistent relations, but rather arrives in multiple, continuous, rapid, time-varying data streams. In addition to reviewing past work

Model checking and abstraction

by Peter J. Clarke, Djuradj Babich, Tariq M. King, B. M. Golam Kibria - ACM Transactions on Programming Languages and Systems , 1994
"... software developers are using the Java language as the language of choice on many applications. This is due to the effective use of the object-oriented (OO) paradigm to develop large software projects and the ability of the Java language to support the increasing use of web technologies in business ..."
Abstract - Cited by 742 (55 self) - Add to MetaCart
we present the first study that investigates how the characteristics of a class are combined, thereby providing feedback on how the features provided by Java 1.4.x or earlier and Java 1.5.x or earlier are currently used. The study uses a taxonomy of OO classes that provides a mechanism to catalog any

Constrained model predictive control: Stability and optimality

by D. Q. Mayne, J. B. Rawlings, C. V. Rao, P. O. M. Scokaert - 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 - Cited by 738 (16 self) - Add to MetaCart
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

Impulses and Physiological States in Theoretical Models of Nerve Membrane

by Richard Fitzhugh - Biophysical Journal , 1961
"... ABSTRACT Van der Pol's equation for a relaxation oscillator is generalized by the addition of terms to produce a pair of non-linear differential equations with either a stable singular point or a limit cycle. The resulting "BVP model " has two variables of state, representing excitabi ..."
Abstract - Cited by 505 (0 self) - Add to MetaCart
the 4-dimensional HH phase space onto a plane produces a similar diagram which shows the underlying relationship between the two models. Impulse trains occur in the BVP and HH models for a range of constant applied currents which make the singular point representing the resting state unstable.

Empirical exchange rate models of the Seventies: do they fit out of sample?

by Richard A. Meese, Kenneth Rogoff - 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 ..."
Abstract - Cited by 854 (12 self) - Add to MetaCart
exchange rates. The candidate structural models include the flexible-price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base

An Overview of Workflow Management: From Process Modeling to Workflow Automation Infrastructure

by Diimitrios Georgakopoulos, Mark Hornick, Amit Sheth - DISTRIBUTED AND PARALLEL DATABASES , 1995
"... Today’s business enterprises must deal with global competition, reduce the cost of doing business, and rapidly develop new services and products. To address these requirements enterprises must constantly reconsider and optimize the way they do business and change their information systems and appl ..."
Abstract - Cited by 670 (26 self) - Add to MetaCart
and applications to support evolving business processes. Workflow technology facilitates these by providing methodologies and software to support (i) business process modeling to capture business processes as workflow specifications, (ii) business process reengineering to optimize specified processes, and (iii

LogP: Towards a Realistic Model of Parallel Computation

by David Culler , Richard Karp , David Patterson, Abhijit Sahay, Klaus Erik Schauser, Eunice Santos, Ramesh Subramonian, Thorsten von Eicken , 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 - Cited by 560 (15 self) - Add to MetaCart
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

Bandera: Extracting Finite-state Models from Java Source Code

by James C. Corbett, Matthew B. Dwyer, John Hatcliff, Shawn Laubach, Corina S. Pasareanu, Hongjun Zheng - IN PROCEEDINGS OF THE 22ND INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING , 2000
"... Finite-state verification techniques, such as model checking, have shown promise as a cost-effective means for finding defects in hardware designs. To date, the application of these techniques to software has been hindered by several obstacles. Chief among these is the problem of constructing a fini ..."
Abstract - Cited by 654 (33 self) - Add to MetaCart
finite-state model that approximates the executable behavior of the software system of interest. Current best-practice involves handconstruction of models which is expensive (prohibitive for all but the smallest systems), prone to errors (which can result in misleading verification results

Analysis, Modeling and Generation of Self-Similar VBR Video Traffic

by Mark Garrett, Walter Willinger , 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 - Cited by 548 (6 self) - Add to MetaCart
to be important components which are not accounted for in currently used VBR video traffic models. 1 I...
Results 1 - 10 of 115,182