Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Prediction in dynamic models with time-dependent conditional variances

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Muscle Logic: New Knowledge Resource for Anatomy Enables Comprehensive Searches of the Literature on the Feeding Muscles of Mammals.

BACKGROUND: In recent years large bibliographic databases have made much of the published literature of biology available for searches. However, the capabilities of the search engines integrated into these databases for text-based bibliographic searches are limited. To enable searches that deliver the results expected by comparative anatomists, an underlying logical structure known as an ontology is required. DEVELOPMENT AND TESTING OF THE ONTOLOGY: Here we present the Mammalian Feeding Muscle Ontology (MFMO), a multi-species ontology focused on anatomical structures that participate in feeding and other oral/pharyngeal behaviors. A unique feature of the MFMO is that a simple, computable, definition of each muscle, which includes its attachments and innervation, is true across mammals. This construction mirrors the logical foundation of comparative anatomy and permits searches using language familiar to biologists. Further, it provides a template for muscles that will be useful in extending any anatomy ontology. The MFMO is developed to support the Feeding Experiments End-User Database Project (FEED, https://feedexp.org/), a publicly-available, online repository for physiological data collected from in vivo studies of feeding (e.g., mastication, biting, swallowing) in mammals. Currently the MFMO is integrated into FEED and also into two literature-specific implementations of Textpresso, a text-mining system that facilitates powerful searches of a corpus of scientific publications. We evaluate the MFMO by asking questions that test the ability of the ontology to return appropriate answers (competency questions). We compare the results of queries of the MFMO to results from similar searches in PubMed and Google Scholar. RESULTS AND SIGNIFICANCE: Our tests demonstrate that the MFMO is competent to answer queries formed in the common language of comparative anatomy, but PubMed and Google Scholar are not. Overall, our results show that by incorporating anatomical ontologies into searches, an expanded and anatomically comprehensive set of results can be obtained. The broader scientific and publishing communities should consider taking up the challenge of semantically enabled search capabilities.