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Hey Buddy, Do You Have the Correct Time (Horizon)?
practicing financial service professionals investment time horizon five standardized time-horizon definitions financial portfolio
2011/8/21
This paper describes a method used to clarify what practicing financial service professionals (FSPs) mean by the term "investment time horizon." Based on 22 FSPs who participated in focus group discus...
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
Renyi's information transfer between financial time series
Econophysics R´ enyi entropy Information transfer Financial time series
2011/7/4
In this paper we quantify the statistical coherence between financial time series by means of
R´enyi’s entropy. With the help of Cambell’s coding theorem we show that R´enyi’s entropy sel...
LIFE IS NOW! TIME DISCOUNTING AND CRIME: EVIDENCE FROM THE ITALIAN REGIONS (2002-2007) ♣
Time Preferences Property Crime Violent Crime Italian Regions Panel data.
2014/6/24
This paper tests the relationship between time preferences and crime rates as posited by Davis (1988), whose theoretical analysis suggests that individuals’ attitude towards the future significantly a...
Impact of the first to default time on Bilateral CVA
Credit Valuation Adjustment Unilateral CVA Bilateral CVA Simplified Bilateral CVA Debit Valuation Adjustment Closeout Equity Forward Contract
2011/7/4
We compare two different bilateral counterparty valuation adjustment (BVA) formulas.
The first formula is an approximation and is based on subtracting the two unilateral
Credit Valuation Adjustment ...
Volatility of Power Grids under Real-Time Pricing
Real-Time Pricing Volatility Lyapunov Analysis
2011/7/5
The paper proposes a framework for modeling and
analysis of the dynamics of supply, demand, and clearing prices
in power system with real-time retail pricing and information
asymmetry. Real-time re...
An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...
Dynamic economic theories generalized spectral derivative model misspecifications
2011/4/2
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches
conditional variance Hedging performance hedge ratios
2011/4/2
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...
Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment
Maternal employment Overweight children
2011/4/2
We use the matched mother-child data from the 2000 wave of the US National Longitudinal Survey of Youth 79 (NLSY79) to assess the impact of full-time working mothers on children’s body mass index (BMI...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Testing for the Markov Property in Time Series
Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
2011/4/1
The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional chara...
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.