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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
2023/4/17
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...
Construct Validity of a Two-Factor Model of Psychopathy
Construct Validity Levenson Self-Report Psychopathy Scale Five-Factor Model Hogan Development Survey
2013/2/19
There is currently limited evidence for the two-factor structure of Psychopathy. The aim was to provide evidence for the construct validity of Primary and Secondary Psychopathy. Batteries including th...
Distinguishing the Dark Triad: Evidence from the Five-Factor Model and the Hogan Development Survey
Dark Triad Five-Factor Model Hogan Development Survey Construct Validity
2013/2/19
The Dark Triad consists of Narcissism, Machiavellianism, and Psychopathy. The aim was to add to the evidence for their differential validity. A battery including the Hogan Development Survey, the IPIP...
Dual-Factor Model of Mental Health: Surpass the Traditional Mental Health Model
Dual-Factor Model of Mental Health Subjective Well-Being Psychopathology Psychological Suzhi
2013/2/22
Aiming at the limitations of traditional mental health model, the dual-factor model of mental health (DFM) was proposed as a new idea under the background of positive psychology trend. According to th...
Adjustment of College Freshmen as Predicted by Both Perceived Parenting Style and the Five Factor Model of Personality—Personality and Adjustment
Personality Traits Parenting Styles Adjustment to College
2013/2/21
The adjustment that freshmen make to college is important, and is related to student retention. The present study explored the relationships among freshmen students’ personality traits, their percepti...
A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
Correlated factors Inverse Wishart Markov chain Monte Carlo
2011/7/5
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices...
A latent factor model for spatial data with informative missingness
Binary spatial data informative cluster size multivariate data
2010/10/19
A large amount of data is typically collected during a periodontal exam. Analyzing these data poses several challenges. Several types of measurements are taken at many locations throughout the mouth....
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Construct redundancy within the Five-Factor Model as measured by the NEO PI-R: Implications for emotional intelligence and incremental coherence
personality construct redundancy reliability emotional intelligence
2009/12/16
Self-report measures of emotional intelligence (EI) have been criticized for not being associated with unique validity, independently of comprehensive measures of personality such as the NEO PI-R. In ...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
Apathy tendency and Cloninger’s seven-factor model of temperament and character among male university students
seven-factor temperament character
2009/4/1
Apathy tendency and Cloninger’s seven-factor model of temperament and character among male university students。
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...