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Forecasting credit migration matrices with business cycle effects—a model comparison
credit risk credit VaR forecasting transition matrices
2011/8/23
Migration matrices are considered a major determinant for credit risk management. They are widely used for credit value-at-risk determination, portfolio management or derivative pricing. It is well kn...
A New Forecasting Model for USD/CNY Exchange Rate
Nonlinearity Functional-coefficient regression model GARCH model Index model Quantile regression
2011/4/2
his paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to mode...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...