標(biāo)題: Titlebook: Econometric Analysis of Financial Markets; Jürgen Kaehler,Peter Kugler Conference proceedings 1994 Springer-Verlag Berlin Heidelberg 1994 [打印本頁] 作者: architect 時間: 2025-3-21 17:36
書目名稱Econometric Analysis of Financial Markets影響因子(影響力)
書目名稱Econometric Analysis of Financial Markets影響因子(影響力)學(xué)科排名
書目名稱Econometric Analysis of Financial Markets網(wǎng)絡(luò)公開度
書目名稱Econometric Analysis of Financial Markets網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Econometric Analysis of Financial Markets被引頻次
書目名稱Econometric Analysis of Financial Markets被引頻次學(xué)科排名
書目名稱Econometric Analysis of Financial Markets年度引用
書目名稱Econometric Analysis of Financial Markets年度引用學(xué)科排名
書目名稱Econometric Analysis of Financial Markets讀者反饋
書目名稱Econometric Analysis of Financial Markets讀者反饋學(xué)科排名
作者: 話 時間: 2025-3-21 22:47
https://doi.org/10.1007/978-3-642-48666-1Finance; econometrics; economics; efficiency; equilibrium; exchange rates; financial markets; integration; i作者: HEED 時間: 2025-3-22 03:08
978-3-642-48668-5Springer-Verlag Berlin Heidelberg 1994作者: 逃避系列單詞 時間: 2025-3-22 05:25 作者: 無彈性 時間: 2025-3-22 09:29
re closed under temporal aggregation, aggregation of a high frequency process yields a corresponding low frequency process in the same class. Examples are wide stationary ARMA and weak GARCH. We use two simple lemmas to obtain these results in a more direct way. The lemmas allow for generalizations 作者: APEX 時間: 2025-3-22 14:02 作者: APEX 時間: 2025-3-22 19:30 作者: 絕緣 時間: 2025-3-22 22:49 作者: FEMUR 時間: 2025-3-23 03:02 作者: habile 時間: 2025-3-23 09:14 作者: 監(jiān)禁 時間: 2025-3-23 11:50 作者: 凝乳 時間: 2025-3-23 15:22 作者: 擋泥板 時間: 2025-3-23 19:41 作者: 整潔 時間: 2025-3-24 01:46 作者: right-atrium 時間: 2025-3-24 04:09
https://doi.org/10.1007/978-3-319-14556-3The mixtures of normal distributions capture well the leptokurtosis of the data whereas the Markovswitching models capture both the leptokurtosis and the heteroskedasticity. There is strong evidence against Gaussian white noise in high-frequency data. Foreign-currency option prices derived under the作者: Sigmoidoscopy 時間: 2025-3-24 08:34
Gift Exchange and the Diplomacy,This paper analyses different properties of the Swiss franc/U.S.-$- and the Swiss franc/DM-exchange rate. The first one behaves according to a switching regime model, while the second rate is part of a linear error correction model.作者: Mangle 時間: 2025-3-24 13:52
Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials,This paper analyses different properties of the Swiss franc/U.S.-$- and the Swiss franc/DM-exchange rate. The first one behaves according to a switching regime model, while the second rate is part of a linear error correction model.作者: innate 時間: 2025-3-24 18:20
Econometric Analysis of Financial Markets978-3-642-48666-1Series ISSN 1431-8830 Series E-ISSN 2196-8950 作者: 托人看管 時間: 2025-3-24 19:30
1431-8830 Overview: 978-3-642-48668-5978-3-642-48666-1Series ISSN 1431-8830 Series E-ISSN 2196-8950 作者: 戰(zhàn)勝 時間: 2025-3-25 00:39
Consumers: Markets, Publics and Audiences,is null distribution is not robust to .-effects and to non-existing variances, both of which are typical for common stock returns. These results are then applied to several stocks traded on the Frankfurt stock exchange, with the result that the ”significance” of empirical autocorrelations is in general reduced.作者: 交響樂 時間: 2025-3-25 04:32 作者: 廚房里面 時間: 2025-3-25 09:43
https://doi.org/10.1007/978-3-031-41490-9ary model of the exchange rate. The partial system gives some evidence in favour of the purchasing power parity hypothesis, which is especially supported by Lagrange multiplier tests for weak exogeneity. It is shown that cointegration vectors may be sensitive with respect to parametric restrictions.作者: CODE 時間: 2025-3-25 13:57
, Trilogy—Art for the Occupy Era,ia are considered which contain interest rates as one component: These variables are nonstationary but cointegration is satisfied in a trivial manner. However estimates of the empirical CAPM are greatly influenced by these nonstationary variables. Empirical results are given for the German stock market.作者: JOT 時間: 2025-3-25 18:35
Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Ris null distribution is not robust to .-effects and to non-existing variances, both of which are typical for common stock returns. These results are then applied to several stocks traded on the Frankfurt stock exchange, with the result that the ”significance” of empirical autocorrelations is in general reduced.作者: 裝入膠囊 時間: 2025-3-25 22:01 作者: GLIDE 時間: 2025-3-26 00:34 作者: Control-Group 時間: 2025-3-26 07:29
Does Cointegration Matter in the Empirical Analysis of the CAPM?,ia are considered which contain interest rates as one component: These variables are nonstationary but cointegration is satisfied in a trivial manner. However estimates of the empirical CAPM are greatly influenced by these nonstationary variables. Empirical results are given for the German stock market.作者: 憂傷 時間: 2025-3-26 11:05
Temporal Aggregation of Time-Series, are wide stationary ARMA and weak GARCH. We use two simple lemmas to obtain these results in a more direct way. The lemmas allow for generalizations in several directions. Discussed are fractionally differenced time-series, heavy tailed stable type processes, and GARCH-M.作者: Alpha-Cells 時間: 2025-3-26 14:38 作者: 原諒 時間: 2025-3-26 17:42
An Investigation of the Effect of Funding on the Slope of the Yield Curve,determination of the yield curve using a new, high frequency, data set and modern econometric techniques. It is argued here that evidence can be found for direct effects from the authorities funding policy on the slope of the yield curve and that this effect conforms well with practitioners views on what happens.作者: Tractable 時間: 2025-3-26 23:16
https://doi.org/10.1057/978-1-137-57237-0stigate whether the imposed restrictions are correct. The cointegrating restrictions which can be judged through coherence and gain at the origin are of special interest. We find that the restrictions belonging to these long-run relations seem to be acceptable.作者: 幼稚 時間: 2025-3-27 04:15 作者: 典型 時間: 2025-3-27 07:49
https://doi.org/10.1007/978-3-319-14556-3 assumption of Gaussian white noise differ systematically and significantly from prices derived under the assumptions of a mixture model or a Markovswitching model. The typical ”smile effects” are caused by the implied peakedness and fat tails of the models.作者: Original 時間: 2025-3-27 12:16 作者: PRE 時間: 2025-3-27 15:17
Shuoqian Liu,Na Tian,Zhonghua Liu979/11 — 91/2 indicate that the spread has clearly predictive power for one-months interest rates as implied by the expectations theory, but the parametric restriction of the expectations theory has to be rejected in a statistical test in most cases.作者: 翅膀拍動 時間: 2025-3-27 18:05
,Amsel, Drossel, Star und Fliegenschn?pper,determination of the yield curve using a new, high frequency, data set and modern econometric techniques. It is argued here that evidence can be found for direct effects from the authorities funding policy on the slope of the yield curve and that this effect conforms well with practitioners views on what happens.作者: 花束 時間: 2025-3-27 22:50 作者: 確定方向 時間: 2025-3-28 03:44 作者: tolerance 時間: 2025-3-28 09:50 作者: Vsd168 時間: 2025-3-28 10:28
Risk and Return in January: Some UK Evidence, we find a consistently positive and statistically significant relationship between non-diversifiable risk and return in non-January months. Second, we find some evidence against the APT restrictions on our model in January, in that the price of January risk may not be common across assets.作者: Pelvic-Floor 時間: 2025-3-28 16:15
Frequency Domain Analysis of Euromarket Interest Rates,stigate whether the imposed restrictions are correct. The cointegrating restrictions which can be judged through coherence and gain at the origin are of special interest. We find that the restrictions belonging to these long-run relations seem to be acceptable.作者: 后天習(xí)得 時間: 2025-3-28 21:46
Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCHy suggest modelling the whole system as a bivariate cointegrated VAR-VARCH model. Yet, under the conventional assumption of conditional normality, this VAR-VARCH model still fails to explain the leptokurtosis of the interest rates completely.作者: 他一致 時間: 2025-3-29 00:45 作者: esoteric 時間: 2025-3-29 03:39 作者: verdict 時間: 2025-3-29 08:07 作者: OVER 時間: 2025-3-29 11:24
On Long- and Short-Run Purchasing Power Parity, recent float. We find considerable evidence of weak-form PPP in contrast to most of the extant literature. Such long-run relationships are then used to form dynamic error correction models for each currency. In many cases our dynamic PPP models are able to outperform a random walk alternative in ou作者: aviator 時間: 2025-3-29 16:43
Cointegration and the Monetary Model of the Exchange Rate,ary model of the exchange rate. The partial system gives some evidence in favour of the purchasing power parity hypothesis, which is especially supported by Lagrange multiplier tests for weak exogeneity. It is shown that cointegration vectors may be sensitive with respect to parametric restrictions.作者: gait-cycle 時間: 2025-3-29 20:09 作者: hematuria 時間: 2025-3-30 01:44 作者: 羞辱 時間: 2025-3-30 05:55 作者: Plaque 時間: 2025-3-30 08:13 作者: 割公牛膨脹 時間: 2025-3-30 15:03 作者: Bronchial-Tubes 時間: 2025-3-30 19:49 作者: Eclampsia 時間: 2025-3-30 20:48
Risk and Return in January: Some UK Evidence,ere is seasonality in the risk-return structure. We examine the risk-return relationship for the UK equity market. We use monthly sectorial data to estimate a dynamic version of the APT that explicitly allows for a different conditional factor structure in January from the rest of the year. While we作者: INERT 時間: 2025-3-31 01:35 作者: 自然環(huán)境 時間: 2025-3-31 08:12
