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动态时变高阶矩是金融收益率的一个重要特征。本文对比研究了主流的Generalized-t分布(GT)和Gram Charlier Expansion分布(GCE)在GJRGARCH模型下对动态高阶矩的拟合能力和Value-at-Risk的预测能力。基于2005-2014美国标普500股指和中国沪深300股指日收益率的实证结果显示,收益率的条件高阶矩存在显著的时变性和持续性,其中偏度参数的持续性参数...
A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
Spatial autoregressive model two-stage least squares generalized moments estimation
2015/9/24
Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computati...
Cross-country analysis of efficiency and productivity in the biotech industry: an application of the generalized metafrontier Malmquist productivity index
asymmetry co-integration milk, price transmission VECM
2015/3/31
The paper provides insights into the price transmission of dairy sector in Slovakia and examined the nature of price adjustments and market efficiency along the vertical chain. The results were based ...
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares
上海财经大学经济学院 高级计量经济学I 课件 Lecture 4 Regression Models Generalized Least Squares
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares.
Generalized Shrinkage Methods for Forecasting using Many Predictors
high dimensional model empirical Bayes dynamic factor models
2014/3/18
This paper provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large number of orthogonal predictors (such as princi...
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 Generalized Analysis to Determine Three Interdependent Unknowns: Value, Real Estate Taxes, and Real Estate Tax Recoveries
Presents the steps generalized analysis determine works on value Calculation of real estate taxes
2011/9/19
Presents the steps for employing generalized analysis to determine works on value, real estate taxes and real estate tax recoveries. Method which is accurate only for perfect gross leased properties; ...
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 ...
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...
Robust Estimators in Generalized Pareto Models
global robustness local robustness finite sample breakdown point
2010/10/20
We study global and local robustness properties of several estimators for shape and scale in a generalized Pareto model. The estimators considered in this paper cover maximum likelihood estimators, sk...
A Generalized Fourier Transform Approach to Risk Measures
Generalized Fourier Transform Risk Measures
2010/11/2
We introduce the formalism of generalized Fourier transforms in the context of risk management.
We develop a general framework to efficiently compute the most popular risk measures, Valueat-
Risk an...
Generalized Integrands and Bond Portfolios: Pitfalls and Counter Examples
Complete markets bond markets generalized integrands generalized portfolios replication
2010/11/2
We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has im-portant flaws: There exist bounded smooth random variables with genera...
A k-generalized statistical mechanics approach to income analysis
Personal income distribution inequality generalized statistics
2010/10/29
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of -generalized statistics, ...
Generalized supermartingale deflators under limited information
Limited information generalized supermartingales boundedness in probability arbitrages Limited information generalized supermartingales boundedness in probability arbitrages
2010/11/1
We undertake a study of markets from the perspective of a financial agent with limited
access to information. The set of wealth processes available to the agent is structured with reason-able economi...
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
pricing formulas diffusion models the exponential Vasicek model
2010/12/13
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and...