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5,172
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 rightskewed, the distributions of the logarithms of realized volatilities are a ..."
Abstract

Cited by 549 (50 self)
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within a standard frictionless arbitragefree multivariate pricing environment. In section 3 we discuss the practical construction of realized volatilities from highfrequency foreign exchange returns. Next, in section 4 we summarize the salient distributional features of r...
The irreducibility of the space of curves of given genus
 Publ. Math. IHES
, 1969
"... Fix an algebraically closed field k. Let Mg be the moduli space of curves of genus g over k. The main result of this note is that Mg is irreducible for every k. Of course, whether or not M s is irreducible depends only on the characteristic of k. When the characteristic s o, we can assume that k ~ ..."
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Cited by 506 (2 self)
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~ (1, and then the result is classical. A simple proof appears in EnriquesChisini [E, vol. 3, chap. 3], based on analyzing the totality of coverings of p1 of degree n, with a fixed number d of ordinary branch points. This method has been extended to char. p by William Fulton [F], using specializations
Dual polyhedra and mirror symmetry for Calabi–Yau hypersurfaces in toric varieties
 J. Alg. Geom
, 1994
"... We consider families F(∆) consisting of complex (n − 1)dimensional projective algebraic compactifications of ∆regular affine hypersurfaces Zf defined by Laurent polynomials f with a fixed ndimensional Newton polyhedron ∆ in ndimensional algebraic torus T = (C ∗ ) n. If the family F(∆) defined by ..."
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Cited by 467 (20 self)
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We consider families F(∆) consisting of complex (n − 1)dimensional projective algebraic compactifications of ∆regular affine hypersurfaces Zf defined by Laurent polynomials f with a fixed ndimensional Newton polyhedron ∆ in ndimensional algebraic torus T = (C ∗ ) n. If the family F(∆) defined
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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is determined by computing its expected (under the riskneutral measure) future cash flows discounted at the riskfree rate. As the credit spread CS(t) is uniquely defined through: (1) the price of a debt claim, (2) this debt claim's contractual cash flows, and (3) the (appropriate) riskfree rate, we can
Trading Group Theory for Randomness
, 1985
"... In a previous paper [BS] we proved, using the elements of the Clwory of nilyotenf yroupu, that some of the /undamcnla1 computational problems in mat & proup, belong to NP. These problems were also ahown to belong to CONP, assuming an unproven hypofhedi.9 concerning finilc simple Q ’ oup,. The a ..."
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Cited by 353 (9 self)
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,. The aim of this paper is t.o replace most of the (proven and unproven) group theory of IBS] by elementary combinatorial argumenls. The rev & we prove is that relative to a random oracle f3, tbc meutioned matrix group problems belong to (NPncoNP)L! Thr problems we consider arr membership in and order
A Framework for Constructing Features and Models for Intrusion Detection Systems
 ACM Transactions on Information and System Security
, 2000
"... Intrusion detection (ID) is an important component of infrastructure protection mechanisms. Intrusion detection systems (IDSs) need to be accurate, adaptive, and extensible. Given these requirements and the complexities of today’s network environments, we need a more systematic and automated IDS dev ..."
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Cited by 223 (7 self)
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Intrusion detection (ID) is an important component of infrastructure protection mechanisms. Intrusion detection systems (IDSs) need to be accurate, adaptive, and extensible. Given these requirements and the complexities of today’s network environments, we need a more systematic and automated IDS
Constructing Distributed Systems In Conic
 IEEE Transactions on Software Engineering
, 1989
"... Abstract  Existing distributed systems vary from those which merely provide Existing distributed systems vary from those which merely provide interconnection of autonomous systems to those which provide a complete language interconnection of autonomous systems to those which provide a complete lan ..."
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Cited by 169 (20 self)
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facilities, but suffer by being complex to use. Language environments are simpler to use and can provide safer environments by performing checks, but environments are simpler to use and can provide safer environments by performing checks, but tend to be aimed at constructing distributed programs rather than
An Approximate MaxFlow MinCut Theorem for Uniform Multicommodity Flow Problems with Applications to Approximation Algorithms
, 1989
"... In this paper, we consider a multicommodity flow problem where for each pair of vertices, (u,v), we are required to sendf halfunits of commodity (uv) from u to v and f halfunits of commodity (vu) from v to u without violating capacity constraints. Our main result is an algorithm for performing th9 ..."
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Cited by 246 (12 self)
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In this paper, we consider a multicommodity flow problem where for each pair of vertices, (u,v), we are required to sendf halfunits of commodity (uv) from u to v and f halfunits of commodity (vu) from v to u without violating capacity constraints. Our main result is an algorithm for performing th
Rendering with concentric mosaics
 in Proc. SIGGRAPH
, 1999
"... This paper presents a novel 3D plenoptic function, which we call concentric mosaics. We constrain camera motion to planar concentric circles, and create concentric mosaics using a manifold mosaic for each circle (i.e., composing slit images taken at different locations). Concentric mosaics index all ..."
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Cited by 242 (29 self)
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This paper presents a novel 3D plenoptic function, which we call concentric mosaics. We constrain camera motion to planar concentric circles, and create concentric mosaics using a manifold mosaic for each circle (i.e., composing slit images taken at different locations). Concentric mosaics index
Fast Computation of Generalized Voronoi Diagrams Using Graphics Hardware
, 1999
"... We present a new approach for computing generalized 2D and 3D Voronoi diagrams using interpolationbased polygon rasterization hardware. We compute a discrete Voronoi diagram by rendering a three dimensional distance mesh for each Voronoi site. The polygonal mesh is a boundederror approximation of ..."
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Cited by 234 (26 self)
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We present a new approach for computing generalized 2D and 3D Voronoi diagrams using interpolationbased polygon rasterization hardware. We compute a discrete Voronoi diagram by rendering a three dimensional distance mesh for each Voronoi site. The polygonal mesh is a boundederror approximation
Results 1  10
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