23 research outputs found
The merit of high-frequency data in portfolio allocation
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown
Influence of Water Quality on the Efficiency of Retention Aids Systems for the Paper Industry
Inflammatory stenosis of the esophagus following non gastric surgery
Deux observations de maladie peptique de l'Ćsophage survenant chez deux femmes aprĂšs chirurgie majeure non gastrique, sont relatĂ©es. Une Ćsophagite s'est dĂ©veloppĂ©e dans un des cas, neuf jours aprĂšs la mise en place d'une sonde naso-gastrique. Dans l'autre cas, l'oesophagite s'est dĂ©veloppĂ©e Ă la suite d'intenses vomissements post-opĂ©ratoires. La littĂ©rature parle exceptionnellement d'oesophagite stĂ©nosante aprĂšs chirurgie non gastrique. On en ignore l'Ă©tiologie, mais un trouble prĂ©alable du cardia peut avoir son importance. On devrait recommander au patient porteur d'une sonde naso-gastrique d'Ă©viter le dĂ©cubitus, et de garder la position assise pendant le sommeil