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A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
State-independent importance sampling for regularly varying random walks
State-independent regularly random walks
2012/9/14
Efficient simulation of rare events involving sums of heavy-tailed random vari-ables has been an active research area in applied probability in the lastfifteen years.These rare events arise in many ap...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
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 ...
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.
Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
Efficiency nonlinear time series partially linear partially varying coefficients quantile regression semiparametric
2011/4/1
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both pa...
Varying the VaR for Unconditional and Conditional Environments
Value at Risk extreme value theory GARCH filter conditional risk
2011/3/31
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their un...
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...
Modeling operational risk data reported above a time-varying threshold
dependence modelling copula, compound process operational risk,Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
Hedge funds performance asset pricing models unobserved components models
2010/9/7
We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econom...
Forecasting with time-varying vector autoregressive models
time-varying vector autoregressive models
2010/12/13
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible ...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Local linear fitting generalized method of moments instrumental variables panel data varying coefficient model
2011/4/6
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exo...
Effient Estimation of Partially Varying Coefficient Instrumental Variables Models
Endogenous variables Functional-coefficient models Instrumental variables Local linear fitting Nonparametric smoothing Simultaneous equations
2011/4/6
We study a new class of semiparametric instrumental variables models with the structural function represented by a partially varying coefficient functional form. Under this representation, the models ...