1,772 research outputs found
Research Minutes: How to Read Citations
No full textResearch Minutes is a vodcast series for undergraduate students covering library research concepts. This segment covers how to read citations of books, book articles, and journal articles. Credits include: Kaila Bussert, production; Michael Engle, script; Jenn Colt-Demaree, animation; Carla DeMello, dancing tower design; Studio M (studiomiami.com), music; Gaby Castro, librarian; Bendi Barrett, student.1_p8d5usc
Research Minutes: Finding Books in the Olin Stacks
No full textResearch Minutes is a vodcast series for undergraduate students covering library research concepts. This segment covers how to find books and journals shelved in Olin Library. Credits include: Kaila Bussert, production; Michael Engle, script; Jenn Colt-Demaree, animation; Carla DeMello, dancing tower design; Studio M (studiomiami.com), music; Wendy Wilcox, librarian.1_zcu64ne
"Ranking Multivariate GARCH Models by Problem Dimension"
No full textIn the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC of Bollerslev (1990), Exponentially Weighted Moving Average, and covariance shrinking of Ledoit and Wolf (2004), using the historical data of 89 US equities. Our methods follow some of the approach described in Patton and Sheppard (2009), and contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings are influenced by the cross-sectional dimension of the problem.
Ranking Multivariate GARCH Models by Problem Dimension
No full textIn the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC of Bollerslev (1990), Exponentially Weighted Moving Average, and covariance shrinking of Ledoit and Wolf (2004), using the historical data of 89 US equities. Our methods follow some of the approach described in Patton and Sheppard (2009), and contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings are influenced by the cross-sectional dimension of the problem.
Research Minutes: How to Identify Scholarly Articles
No full textResearch Minutes is a vodcast series for undergraduate students covering library research concepts. The series transforms Cornell University Library's web-based research guide, Research Strategy: A Tutorial, into short, 90-second vodcasts with music and images. This segment covers how to identify scholarly articles.
Credits include: Michael Engle, script; Jenn Colt-Demaree, animation; Carla DeMello, dancing tower design; Studio M (studiomiami.com), music; Kaila Bussert, production.1_zgbghd5
Research Minutes: How to Identify Substantive News Articles
No full textResearch Minutes is a vodcast series for undergraduate students covering library research concepts. The series transforms Cornell University Library's web-based research guide, Research Strategy: A Tutorial, into short, 90-second vodcasts with music and images. This segment covers how to identify substantive news articles. Credits include: Michael Engle, script; Jenn Colt-Demaree, animation; Carla DeMello, dancing tower design; Studio M (studiomiami.com), music; Kaila Bussert, production.1_zgbghd5
Ranking Multivariate GARCH Models by Problem Dimension
No full textIn the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC of Bollerslev (1990), Exponentially Weighted Moving Average, and covariance shrinking of Ledoit and Wolf (2004), using the historical data of 89 US equities. Our methods follow some of the approach described in Patton and Sheppard (2009), and contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings are influenced by the cross-sectional dimension of the problem.Covariance forecasting; model confidence set; model ranking; MGARCH; model comparison
Nicholas Engle - Doctor of Musical Arts - Doctoral Recital
No full textSuite from the Monteregian Hills / Morley Calvert (1928-1991) -- Trumpet Sextet / Oskar Böhme (1870-1938) -- Let the Bright Seraphim / George Frideric Handel 1684-1759 -- Suite for 3 Trumpets / Henri Tomasi (1901-1971) -- Trumpet Trio / Robert Muczynski (1929-2010)Music, Moores School o
Cross_Domain_InhDis_Supplement – Supplemental material for Quantifying Inhibitory Control as Externalizing Proneness: A Cross-Domain Model
No full textSupplemental material, Cross_Domain_InhDis_Supplement for Quantifying Inhibitory Control as Externalizing Proneness: A Cross-Domain Model by Noah C. Venables, Jens Foell, James R. Yancey, Michael J. Kane, Randall W. Engle, and Christopher J. Patrick in Clinical Psychological Science</p
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
No full textLarge and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dimensionality" whereas DCC does not. This is a misleading interpretation of the suitability of the two models to be used in practice. The primary purposes of the paper are to define targeting as an aid in estimating matrices associated with large numbers of financial assets, analyze the similarities and dissimilarities between BEKK and DCC, both with and without targeting, on the basis of structural derivation, the analytical forms of the sufficient conditions for the existence of moments, and the sufficient conditions for consistency and asymptotic normality, and computational tractability for very large (that is, ultra high) numbers of financial assets, to present a consistent two step estimation method for the DCC model, and to determine whether BEKK or DCC should be preferred in practical applications.
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