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A Type of HJM Based Affine Model: Theory and Empirical Evidence
Affine Term Structure Model HJM Finite Dimensional Realization Linear Realization Theory State Space Framework Macro-economy
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2011/4/2
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Fini...
2006年第8讲(总第487讲)
[6月1日] New Evidence on the Causal Link between the Quantity and Quality of Children
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2007/8/13
主讲人
Josh Angrist
MIT, NBER and IZA Bonn
题目
New Evidence on the Causal Link between the Quantity and Quality of Children
时间
2006年6月1日（星期四）下午15：40-----17:00
地点
北京大学中国经济研究中心致福轩大教室
工作语言
英文
联系电话
62751475
...
Can the Random Walk Model be Beaten in Out-Of-Sample Density Forecasts? Evidence from...
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
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2011/4/2
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates. In this paper, we stu...
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
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2011/4/6
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.