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A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
Modeling wealth distribution in growing markets
Modeling wealth distribution growing markets
2010/12/17
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Chang...
Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Probability distribution returns exponential Ornstein-Uhlenbeck model
2010/12/17
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Return interval distribution of extreme events and long term memory
Return interval distribution extreme events long term memory
2010/12/17
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is we...