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A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...
ESTIMATING DETERMINISTIC TRENDS IN THE PRESENCE OF SERIALLY CORRELATED ERRORS
DETERMINISTIC TRENDS PRESENCE OF SERIALLY CORRELATED ERRORS
2014/3/18
This paper studies the problems of estimation and inference in the linear trend model yt = a + P3t + ut, where ut follows an autoregressive process with largest root p and , is...
Testing for Common Trends
Cointegration Factor models Integrated processes Multiple time series Unit roots Yield curv
2014/3/18
Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) i...