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Modeling the Dynamics of Chinese Spot Interest Rates
Generalized residuals Robust specification tests Robust M-estimation Spot rate
2011/4/2
Understanding the dynamics of spot interest rates is important for derivatives pricing, risk
management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-da...
Modeling share prices of banks and bankrupts
share price modeling CPI prediction the USA bankruptcy
2010/10/19
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demo...
Modeling Long Memory in REITs
Long Memory FGARCH REITs
2011/3/31
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Dai...
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...