scholarly journals Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

2013 ◽  
Author(s):  
Markus Bibinger ◽  
Nikolaus Hautsch ◽  
Peter Malec ◽  
Markus Reiss
Keyword(s):  
Method Of Moments ◽  
Local Method ◽  
Covariation Matrix ◽  
Quadratic Covariation

scholarly journals Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

2014 ◽  
Vol 42 (4) ◽  
pp. 1312-1346 ◽  
Author(s):  
Markus Bibinger ◽  
Nikolaus Hautsch ◽  
Peter Malec ◽  
Markus Reiß
Keyword(s):  
Method Of Moments ◽  
Local Method ◽  
Covariation Matrix ◽  
Quadratic Covariation

scholarly journals The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

Energies ◽  
2019 ◽  
Vol 12 (17) ◽  
pp. 3379 ◽  
Author(s):  
Manabu Asai ◽  
Rangan Gupta ◽  
Michael McAleer
Keyword(s):  
Crude Oil ◽  
Positive Definite ◽  
Covariation Matrix ◽  
Empirical Results ◽  
Covariance Estimator ◽  
Quadratic Covariation ◽  
Gold Futures ◽  
The Impact

This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that the impact is negligible in forecasting weekly and monthly horizons.

Advances in rib waveguide analysis using the weighted index method or the method of moments

1990 ◽  
Vol 137 (1) ◽  
pp. 27 ◽  
Author(s):  
P.C. Kendall ◽  
M.J. Robertson ◽  
P.W.A. McIlroy ◽  
S. Ritchie ◽  
M.J. Adams
Keyword(s):  
Method Of Moments ◽  
Index Method ◽  
Rib Waveguide ◽  
Weighted Index

Soot Particle Deposition within Porous Structures using a Method-of-Moments-Lattice-Boltzmann Approach

2006 ◽  
Vol v4 (i2) ◽  
pp. 221-232
Author(s):  
Bernhard F.W. Gschaider ◽  
Claudia C. Honeger ◽  
Christian E. P. Redl ◽  
Johannes Leixnering
Keyword(s):  
Method Of Moments ◽  
Lattice Boltzmann ◽  
Particle Deposition ◽  
Soot Particle ◽  
Porous Structures

REDUCING THE APPROXIMATION TIME OF CLUSTER WORKLOAD BY USING METHOD OF MOMENTS ON HYPEREXPONENTIAL DISTRIBUTION

2017 ◽  
Vol 37 (1) ◽  
pp. 094-105 ◽  
Author(s):  
Sergey V. Gaevoy ◽  
◽  
Wesam M. A. Ahmed ◽  
Dmitriy V. Bykov ◽  
Sergey A. Fomenkov ◽  
...  
Keyword(s):  
Method Of Moments ◽  
Hyperexponential Distribution ◽  
Cluster Workload
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