Abstract Estimating time-varying conditional covariance matrices of financial returns play important role in portfolio analysis, risk management, and econometrics research. The availability high-frequency data can provide an additional source for dynamic modeling. In this paper, we propose to use the information asset return vector realized measures simultaneously develop a new matrix model. We...

Generalizing the realized variance, skewness (Neuberger, 2012) and kurtosis (Bae Lee, 2020), we construct cumulants with so-called aggregation property. They are unbiased statistics of a martingale marginal based on sub-period increments its lower-order conditional cumulant processes. Our key finding is relation between property complete Bell polynomials. For an application give alternative pro...

This article proposes a simple approach to estimate quantiles of daily financial returns directly from high-frequency data. We denote the resulting estimator as realized quantile (RQ) and use it forecast tail risk measures, such Value at Risk (VaR) Expected Shortfall (ES). The RQ is built on assumption that logarithm prices are subordinated self-similar processes in intrinsic time. time dimensi...

We examine the interference of fairness and observers in digital coin systems. Since copying of coins cannot be prevented cryptographically in anonymous off-line coin systems, double-spending detection is one of the major tasks. An observer is a tamper resistant device that prevents doublespending physically, i.e., Alice has no access to her coins and therefore she cannot copy them. Digital coi...

In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredict...

The discovery and prioritization of heritable phenotypes is a computational challenge in a variety of settings, including neuroimaging genetics and analyses of the vast phenotypic repositories in electronic health record systems and population-based biobanks. Classical estimates of heritability require twin or pedigree data, which can be costly and difficult to acquire. Genome-wide complex trai...

other energy depots can be forced, however, genetic associations may remain when phenotypic regression is used. Heritability estimates for phenotypic residual feed intake have been moderate, ranging from 0.26 to 0.43. Genetic correlations of phenotypic residual feed intake with feed intake have been highly positive, suggesting that improvement would produce the correlated response of decreasing...

Two-way selection for two-week packed erythrocyte volume (PCV) was practiced for four generations under two nutritional environments in the Japanese quail (Coturnix coturnix japonica). One environment was an iron, copper-"adequate" diet and the other was iron, copper-deficient "stress" diet. Response to selection was greater in both directions under the adequate environment than under the stres...