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Adaptive and Sophisticated Learning in Repeated Normal Form Games
Adaptive Sophisticated Learning Repeated Normal
2015/7/21
Adaptive and Sophisticated Learning in Repeated Normal Form Games.
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
Adaptive Execution: Exploration and Learning of Price Impact
adaptive execution price impact reinforcement learning regret bound
2012/9/14
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change isa linear combination of observed factors, impact...
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Bayesian Adaptive Construction Scheme
2010/11/1
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics.In the adaptive construction s...
Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Markov Chain Monte Carlo Bayesian inference
2010/11/2
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the
construction ...
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...
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
Chain Monte Carlo Bayesian inference GARCH model Metropolis-Hastings algorithm
2010/10/29
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC)simulations of the GARCH model. The proposal density is constructed adaptive...