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Cross-Correlation Dynamics in Financial Time Series
Cross-Correlation Dynamics Financial Time Series
2010/10/18
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...
Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...