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A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
Computational Complexity of Arbitrage in Frictional Security Market
arbitrage condition financial market complexity of arbitrage
2011/9/17
We are interested in computation of arbitrage condition in financial market with friction. We consider a deterministic model with a finite number of financial assets and a finite number of possible st...
Inquiry into the Micro Foundation of Macro Fluctuations: The Law of Large Numbers and Arbitrage unde
2008/1/17
The law of large numbers introduces an order of where N is the number of elements in a linear stochastic system with or without growth. Comparing observed magnitudes of macro fluctuations and numbers ...