搜索结果: 31-45 共查到“经济学 over Time”相关记录195条 . 查询时间(0.311 秒)
Sequential time-step generation companies decisions in oligopolistic electricity market
Cournot model Electricity markets Oligopolistic competition
2014/11/27
This paper studies the production decisions of generation companies (GENCOs) which are fully engaged in oligopolistic electricity markets. The model presented is based upon the static equilibrium mode...
Swiss residential demand for electricity by time-of-use
Electricity demand Time-of-use rates
2014/11/27
In this study, we have examined the residential demand for electricity by time-of-day in Switzerland. For this purpose, a model of two log-linear stochastic equations for peak and off-peak electricity...
In this paper we provide some evidence that repeat taking of competitive exams may reduce the impact of background disadvantages on educational outcomes. Using administrative data on the university en...
Time Paths of Implied Vola2lity Spillover in Agricultural Markets
Time Paths Implied Vola2lity Spillover Agricultural Markets
2014/6/3
Time Paths of Implied Vola2lity Spillover in Agricultural Markets。
Small-scale farm operations are not for everyone, but they can support a healthful way of life in the country, away from the problems of urban congestion. Tens of thousands of households throughout Pe...
The endogeneity of optimum currency area criteria in the context of financial crisis: Evidence from the time-frequency domain analysis
Euro area singular value decomposition synchronization wavelet analysis
2014/2/24
We provide the wavelet analysis of the economic cycle synchronization during the recent financial crisis. However, the global financial crisis caused economic cycles in most European countries to beco...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
DFA and DMA synthetic long-range time series
2012/9/17
Notwithstanding the signi cant e orts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which cond...
Small time central limit theorems for semimartingales with applications
Small time central limit theorems semimartingale applications
2012/9/17
We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
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...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Wronskian distribution random time
2012/9/14
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...