搜索结果: 1-6 共查到“知识库 经济学 AR”相关记录6条 . 查询时间(0.125 秒)
通过引入自回归项，改进了以往国内研究所使用的GARCH-GED模型，建立了AR-GARCH-GED模型，使用1990年12月19日 ~ 2015年7月15日期间将近25年的上证指数日数据研究其周内效应，得出了上证指数较之前研究更为显著的周内效应。为了进一步考察显著的周内效应是否仅仅是一个数据挖掘的纯机会主义行为，对该模型进行滑动窗口回归发现，周内效应显著的比例仅在13% ~ 25%之间。基于该研究...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
基于AR模型的中信银行收盘价预测
收盘价 平稳时间序列 AR模型 短期预测
2011/8/26
大多数经济时间序列都是存在惯性的，通过对这种惯性的分析可以由时间序列的当前值及过去值对未来值进行预测。本文用AR模型对中信银行收盘价（2010年1月20日～2010年7月19日 ）共128个数据进行建模和短期预测。
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
The log-periodic-AR(1)-GARCH(1,1) model financial crashes
2010/12/13
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate...
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Multistep forecasts Var forecasts Forecast comparisons
2014/3/18
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-...
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE
Regression Coefficient Stability Stationary AR(1) Alternative
2014/3/18
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...