搜索结果: 61-75 共查到“知识库 经济计量学”相关记录300条 . 查询时间(2.63 秒)
Local Identification of Nonparametric and Semiparametric Models
Identification local identification nonparametric models asset pricing
2014/9/9
In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiab...
Dynamic Mechanism Design: A Myersonian Approach
Asymmetric information stochastic processes incentives mechanism design envelope theorems
2014/9/9
We study mechanism design in dynamic quasilinear environments where private information arrives over time and decisions are made over multiple periods. We make three contributions. First, we provide a...
The Elite Illusion: Achievement Effects at Boston and New York Exam Schools
Peer effects school choice deferred acceptance selective education
2014/9/10
Parents gauge school quality in part by the level of student achievement and a
school抯 racial and socioeconomic mix. The importance of school characteristics in the
housing market can be seen in the...
Efficiency in Games With Markovian Private Information
Repeated Bayesian games efficiency Markov chains
2014/9/10
We study repeated Bayesian games with communication and observable actions in which the players' privately known payoffs evolve according to an irreducible Markov chain whose transitions are independe...
可信性是计量经济学应用研究的重要问题，其核心在于实现经济理论、统计学、数学在实证研究中的科学结合。文章首先厘清计量经济学探索客观经济世界过程的本质特征，进而从模型的随机性设定、经济变量之间的因果关系识别以及模型的统计适切性评价等三个方面论述计量经济学应用研究的可信性来源。
我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究
仿射无套利 宏观因子 潜在因子 通胀预期
2015/1/27
通胀预期问题已成为当前和下一阶段我国经济发展中必须关注的问题。本文对我国不同期限国债的名义和实际收益建立了含有宏观因子和潜在因子的仿射无套利模型,从通胀补偿中分解出了通胀预期。研究认为:分解出的短期和中期通胀预期与通胀率的动态关联性较强,而长期通胀预期和通胀率的动态关联性较弱;各期限通胀预期都不是理性预期,但中期和长期预期是适应性预期;发现CPI是影响通胀预期的最重要因素,其影响效果随着期限增加而...
From Minority Game to Black & Scholes pricing
Minority Game Agent-based models Option pricing Market calibration
2012/6/5
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game with number of strategies for each agent S=2 and "fake" market histories. ...
Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
Financial Stochastic processes Truncated Levy Flights High-Order Correlations NonGaussian Random Walk
2012/6/5
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
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 multivariate piecing-together approach with an application to operational loss data
copula domain of multivariate attraction GPD copula multivariate extreme value distribution multivariate generalized Pareto distribution
2012/6/5
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivaria...
A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA
Multi-Level Lorentzian Analysis the Daily DJIA Statistical Finance
2012/6/5
A quantitative analysis of the basic components of the daily DJIA. The parameters of the underlying Lorentzian states are obtained by fitting the data. Statistical properties of the states are discuss...
Comparison results for Garch processes
Comparison results Garch processes Statistical Finance
2012/4/28
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that ar...
Price and Quantity Trajectories: Second-order Dynamics
disequilibrium economics Walrasian adjustment Marshallian adjustment SMD theorem Helmholtz-Hodge decomposition theorem
2012/4/28
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate thre...