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Panel data models with spatially correlated error components
Panel data model Spatial model Error component model
2015/9/24
In this paper we consider a panel data model with error components that are both spatially andtime-wise correlated. The model blends specifications typically considered in the spatial literaturewith t...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
What is the importance of social capital in Czech agriculture? An analysis of selected components
social capital social networks agriculture sociology microeconomics
2014/2/27
The paper examines the role of social capital in Czech agricultural sector. It is argued that social capital, just like economic capital, can be employed as a resource for the improvement of economic ...
From industrial holdings to subsistence farms in Romanian agriculture. Analyzing the subsistence components of CAP
subsistence farming Common Agricultural Policy agricultural system sub financing rural population
2014/2/27
In terms of the EU enlargement from 15 to 27 states, the need to reform the CAP mechanisms was felt more than ever. Reorientation towards rural development measures and not towards supporting agricult...
Finite-size effect and the components of multifractality in financial volatility
Finite-size effect components of multifractality financial volatility
2010/11/3
Many financial variables are found to exhibit multifractal nature, which is usually attributed
to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF).Based...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
The components of empirical multifractality in financial returns
components empirical multifractality financial returns
2010/11/2
We perform a systematic investigation on the components of the empirical multi-
fractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 ...
Forecasting Using Principal Components From a Large Number of Predictors
Factor models Forecasting Principal components
2014/3/18
This article considers forecasting a single time series when there are many predictors (N) and time series observations (T). When the data follow an approximate factor model, the predictors can be sum...