搜索结果: 1-14 共查到“数量经济学 time series”相关记录14条 . 查询时间(0.14 秒)
The Deterrence Controversy: A Reconsideration of the Time Series Evidence
Deterrence Controversy Time Series Evidence
2015/8/5
The Deterrence Controversy: A Reconsideration of the Time Series Evidence.
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
DFA and DMA synthetic long-range time series
2012/9/17
Notwithstanding the signi cant e orts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which cond...
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
Segmentation analysis on a multivariate time series of the foreign exchange rates
finite multivariate Gaussian mixture Jensen-Shannon divergence variance-covariance matrix cross-sectional analysis
2012/6/2
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is emp...
Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
DJI macroeconomic cycle phase transitions segmentation clustering
2010/11/1
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008.Modeling the index movements and log-ind...
Quantitative features of multifractal subtleties in time series
Quantitative features multifractal subtleties time series
2010/11/1
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series.
Superfamily classification of nonstationary time series based on DFA scaling exponents
Superfamily classification DFA scaling exponents
2010/11/3
The superfamily phenomenon of time series with different dynamics can be charac-terized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However,...
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...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Multistep forecasts Var forecasts Forecast comparisons
2014/3/18
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-...
INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS
Cointegration error correction models vector autoregressio
2014/3/18
This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector auto...
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
State space model Dynamic factor anal-ysis Kalman filter Method of scoring Unobserved com- ponent estimation
2014/3/18
The paper formulates and estimates a single-factor multi-variate time series model. The model is a dynamic gen-eralization of the multiple indicator (or factor analysis) model. ...