搜索结果: 1-12 共查到“理论经济学 Multivariate”相关记录12条 . 查询时间(0.171 秒)
How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Multivariate Kurtosis Dynamics N-Dimensional Market
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2012/9/14
This paper investigates the common intuition suggesting that dur-ing crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges th...
A multivariate piecing-together approach with an application to operational loss data
copula domain of multivariate attraction GPD copula multivariate extreme value distribution multivariate generalized Pareto distribution
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2012/6/5
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivaria...
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
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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...
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
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2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Affine Processes Asymptotic Expansion Density Approximation
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2011/7/25
Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hi...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes option pricing
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2010/10/18
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still ...
Inference on multivariate ARCH processes with large sizes
Inference multivariate ARCH processes large sizes
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2010/10/29
The covariance matrix is formulated in the framework of a linear multivariate ARCH
process with long memory, where the natural cross product structure of the covariance is
generalized by adding two ...
Multivariate stochastic volatility with Bayesian dynamic linear models
Multivariate stochastic volatility Bayesian dynamic linear models
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2010/12/13
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the v...
Multivariate Modeling of Daily REIT Volatility
multivariate GARCH REIT value stocks
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2011/3/31
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also exam...
CLOSED-FORM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Diffusions likelihood expansions discrete observations
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2014/3/13
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by...
THE CONVERGENCE OF MULTIVARIATE ‘UNIT ROOT’ DISTRIBUTIONS TO THEIR ASYMPTOTIC LIMITS The Case of Money-Income Causality
MULTIVARIATE UNIT ROOT DISTRIBUTIONS THEIR ASYMPTOTIC LIMITS Money-Income Causality
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2014/3/18
We examine the quality of recently developed asymptotic approximations to the sampling distributions of various statistics in levels regressions when the regressors have unit ro...
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
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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. ...