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GARCH modelling in continuous time for irregularly spaced time series data
GARCH modelling continuous time irregularly spaced time series data
2010/12/17
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' conce...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.