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Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
The near-extreme density of intraday log-returns
near-extreme density intraday log-returns tatistics
2011/7/4
The extreme event statistics plays a very important role in the theory and
practice of time series analysis. The reassembly of classical theoretical results
is often undermined by non-stationarity a...
Intraday Patterns in the Cross-section of Stock Returns
Intraday Patterns Cross-section Stock Returns
2010/10/20
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at hal...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/6
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.