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Just Keep My Money! Supporting Tax-time Savings with U.S. Savings Bonds
Household Characteristics Income Characteristics Bonds Investment
2015/4/21
This paper reports the results of a 2007 experiment testing if specific process simplification can foster increased take-up rates for savings products, particularly by low-to-moderate income (LMI) hou...
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...
A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
Tokyo Stock Exchange Jensen-Shannon divergence volatility
2012/6/2
This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from January 4, 2000 to ...
Application of Simulation Model as a Strategic Option for Determining the Amount of Time Required By an Average Voter to Cast Vote
voting elections simulation model
2011/6/1
Since the return to civil rule in Nigeria in 1999, the country has organised two general elections and numerous re - run elections at different levels.
Stability of the World Trade Web over Time - An Extinction Analysis
General Finance World Trade Web over Time
2011/7/25
Abstract: The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper we intro...
An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach
Gasoline demand Time-varying coefficient Cointegration Canonical coin-tegration regression Error-correction model deadweight loss
2011/4/2
In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression.
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/23
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/23
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on f...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
Time Varying Risk Aversion: An Application to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M...
On discrete stochastic processes with long-lasting time dependence
discrete stochastic processes long-lasting time dependence
2010/12/20
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a...
Optimal Investment Strategy to Minimize Occupation Time
Optimal Investment Strategy Minimize Occupation Time
2010/12/20
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and...