搜索结果: 1-9 共查到“理论经济学 relation”相关记录9条 . 查询时间(0.218 秒)
On the Relation Between the Variability of Inflation and the Average Inflation Rate
Inflation the Average Inflation Rate
2015/8/5
On the Relation Between the Variability of Inflation and the Average Inflation Rate.
Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
Interval portfolio selection satisfaction index semiabsolute deviation risk parametric linear programming
2012/9/14
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relatio...
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
Micro-Macro Relation Double Scaling Law Statistical Physics
2010/10/19
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the...
The Relation Between the Cyclically Adjusted Budget Balance and the Growth Accounting Method of Deriving Net Fiscal Effort
expansionary/contractionary fiscal policy cyclically adjusted budget balance
2009/7/17
This paper deals with the growth accounting method used to derive “net fiscal effort”. Net fiscal effort can then provide a clue about whether fiscal policy is expansionary or not, and, together with ...
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
Asset pricing risk premium macroeconomic volatility stochastic discount factor model
2010/9/7
This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is...
Structural Changes in the Contemporaneous Linear Relation between Returns and Earnings after 1997 Financial Crisis in Korea
returns-earnings relations Asian financial crisis accounting reforms
2010/12/7
We study the effect of accounting reforms on the quality of accounting information after the 1997 financial crisis in Korea. Using observations of accounting earnings and stock returns over the past 2...