Search

Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper proposes a new class of dynamic extreme value models that profit from HF data when estimating the tails of daily asset returns. Our realized peaks-over-threshold approach provides estimates for the tails of the time-varying conditional return distribution. An in-sample fit to the S&P 500 index returns suggests that HF data convey information on daily extreme returns beyond that included in low frequency (LF) data. Finally, out-of-sample forecasts of conditional risk measures obtained with HF measures outperform those obtained with LF measures. [ABSTRACT FROM AUTHOR]

Summary: Motivated by a cutting edge problem related to the shape of α‐helices in proteins, we formulate a parametric statistical model, which incorporates the cylindrical nature of the helix. Our focus is to detect a “kink,” which is a drastic change in the axial direction of the helix. We propose a statistical model for the straight α‐helix and derive the maximum likelihood estimation procedure. The cylinder is an accepted geometric model for α‐helices, but our statistical formulation, for the first time, quantifies the uncertainty in atom positions around the cylinder. We propose a change point technique “Kink‐Detector” to detect a kink location along the helix. Unlike classical change point problems, the change in direction of a helix depends on a simultaneous shift of multiple data points rather than a single data point, and is less straightforward. Our biological building block is crowdsourced data on straight and kinked helices; which has set a gold standard. We use this data to identify salient features to construct Kink‐detector, test its performance and gain some insights. We find the performance of Kink‐detector comparable to its computational competitor called “Kink‐Finder.” We highlight that identification of kinks by visual assessment can have limitations and Kink‐detector may help in such cases. Further, an analysis of crowdsourced curved α‐helices finds that Kink‐detector is also effective in detecting moderate changes in axial directions. [ABSTRACT FROM AUTHOR]