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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...