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Investment Funds: What Next?
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...
An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...
Monetary Policy Independence: The First Ten Years of the UK Monetary Policy Committee … and the first year of the “not-nice” decade ...
MPC inflation targeting GDP growth “fan charts” inflation reports
2010/9/7
In May 1997 a new government was elected in the United Kingdom and one of its first acts was to hand over the setting of the official interest rate to a committee of the Bank of England, the Monetary ...
FISHER IS INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES
Levy process jumps rate of convergence optimal estimation
2014/3/13
The copyright to this Article is held by the Econometric Society. It may be downloaded,printed and reproduced only for educational or research purposes, including use in course packs. No downloading o...
格兰杰因果性检验评述
评述 格兰杰因果性检验
2008/5/13
格兰杰因果性检验是计量经济学中最常用的因果性检验方法,但是因为种种原因,目前存在着对该检验方法的模糊认识和不正确运用。本文回顾了格兰杰因果性检验的发展过程,并从信息集、非平稳变量、即期因果性等方面对运用格兰杰因果性时存在的一些问题进行了讨论。
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
2010/9/7
EGARCH models for conditionally heteroscedastic time series have attracted a steadily increasing degree of attention in financial econometrics and related fields. These models are able to represent so...
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
Asset pricing risk premium macroeconomic volatility stochastic discount factor model
2010/9/7
This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is...
The Statistical Properties of Exponential ACD Models
Exponential ACD models generalized F distribution unconditional moments
2010/9/7
This paper examines some of the statistical properties of exponential ACD models. To allow for nonmonotonic hazard functions we use either the generalized Gamma or the generalized F distributions. Con...
The Moments of Log-ACD Models
Duration model overdispersion autocorrelation function high frequency financial data
2010/9/7
We provide existence conditions and analytical expressions of the moments of Log-ACD models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD and SC...
货币度量有问题
2008/1/18
从银行出去的货币的增长速度本来相当高,其中一部分流到了M2这个口袋,另一部分流到了别处,而且这部分增长率更高,还不出现在央行货币监察雷达的屏幕上 2006年下半年以来的货币度量出现了一个重要情况,M2(广义货币)的增长率显著低于银行外汇占款与贷款之和的增长率。在5月的数据公布之前,我对这个情况有所注意,但没有仔细分析货币供应的细项,主要根据M2的情况来考虑,认为“微调即可”。5月的货币数据公布以后...
诺奖得主格兰杰为CCER师生描绘经济预测的未来
经济预测
2008/1/18
2005年6月3日上午,“站在巨人的肩上——北京大学中国经济研究中心成立十周年诺奖得主演讲系列”第十讲在北京大学中国经济研究中心举行。陈平教授致欢迎辞,林毅夫教授对整个演讲系列进行了总结。2003年诺贝尔经济学奖得主、美国加州大学圣地亚哥分校教授克莱夫·格兰杰以“经济预测的未来”为题做了演讲。本次活动有北大校内外100余名师生参加,由新浪网直播。
格兰杰教授指出,经济学是关于决策的科学,做决策...