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动态时变高阶矩是金融收益率的一个重要特征。本文对比研究了主流的Generalized-t分布(GT)和Gram Charlier Expansion分布(GCE)在GJRGARCH模型下对动态高阶矩的拟合能力和Value-at-Risk的预测能力。基于2005-2014美国标普500股指和中国沪深300股指日收益率的实证结果显示,收益率的条件高阶矩存在显著的时变性和持续性,其中偏度参数的持续性参数...
A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
Spatial autoregressive model two-stage least squares generalized moments estimation
2015/9/24
Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computati...
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares
上海财经大学经济学院 高级计量经济学I 课件 Lecture 4 Regression Models Generalized Least Squares
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares.
Generalized Shrinkage Methods for Forecasting using Many Predictors
high dimensional model empirical Bayes dynamic factor models
2014/3/18
This paper provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large number of orthogonal predictors (such as princi...
Generalized Gaussian Bridges
Canonical representation enlargement of filtration fractional Brownian motion Gaussian process Gaussian bridge Hitsuda representation
2012/6/5
A generalized bridge is the law of a stochastic process that is conditioned on linear functionals of its path. We consider two types of representations of such bridges: orthogonal and canonical. In th...
A Generalized Analysis to Determine Three Interdependent Unknowns: Value, Real Estate Taxes, and Real Estate Tax Recoveries
Presents the steps generalized analysis determine works on value Calculation of real estate taxes
2011/9/19
Presents the steps for employing generalized analysis to determine works on value, real estate taxes and real estate tax recoveries. Method which is accurate only for perfect gross leased properties; ...
An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...
Dynamic economic theories generalized spectral derivative model misspecifications
2011/4/2
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
Generalized Integrands and Bond Portfolios: Pitfalls and Counter Examples
Complete markets bond markets generalized integrands generalized portfolios replication
2010/11/2
We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has im-portant flaws: There exist bounded smooth random variables with genera...
A k-generalized statistical mechanics approach to income analysis
Personal income distribution inequality generalized statistics
2010/10/29
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of -generalized statistics, ...
Generalized supermartingale deflators under limited information
Limited information generalized supermartingales boundedness in probability arbitrages Limited information generalized supermartingales boundedness in probability arbitrages
2010/11/1
We undertake a study of markets from the perspective of a financial agent with limited
access to information. The set of wealth processes available to the agent is structured with reason-able economi...
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
pricing formulas diffusion models the exponential Vasicek model
2010/12/13
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and...
Central limit theorems for generalized U-statistics with applications in nonparametric specification
central limit theorem nonparametric specification quadratic form strict stationarity stochastic process
2011/4/2
Central limit theorems for generalized U-statistics with applications in nonparametric specification.
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional...
Economic theories underlying economic variables nuisance parameter free
2011/4/2
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for tim...