搜索结果: 1-9 共查到“理论经济学 density”相关记录9条 . 查询时间(0.117 秒)
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...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
2011/7/25
Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hi...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
Nonparametric methods for volatility density estimation
stochastic volatility models deconvolution density estimation kernel estimator wavelets minimum contrast estimation
2010/11/2
Stochastic volatility modelling of nancial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparam...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
Bayesian inference with an adaptive proposal density for GARCH models
Bayesian inference adaptive proposal GARCH models
2010/11/2
We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student’s t-distribution a...
Can the Random Walk Model be Beaten in Out-Of-Sample Density Forecasts? Evidence from...
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/2
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. In this paper, we stu...
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.