搜索结果: 1-15 共查到“经济学 Finite”相关记录17条 . 查询时间(0.062 秒)
Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
Finite quantum mechanical model for the stock market
quantum mechanical model stock market
2012/9/14
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more genera...
A finite-dimensional quantum model for the stock market
econophysics quantum finance finite quantum systems
2012/4/28
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is a...
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Stochastic finite differences multilevel Monte Carlo class of SPDEs finance Computational Finance
2012/4/28
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that th...
TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY
TESTING WHETHER JUMPS HAVE FINITE INFINITE ACTIVITY
2014/3/13
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treat...
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Rescaled range analysis detrended fluctuation analysis Hurst exponent
2010/12/6
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have bee...
Reflected Backward Stochastic Difference Equations with Finite State and their applications
BSDE RBSDE Comparison Theorem g-martingale
2010/10/18
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Co...
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...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents ar...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
Covariance matrix estimation Factor models Finite sample properties Hansen-Jagannathan distance Shrinkage method
2011/4/2
Jagannathan and Wang (1996) derive the asymptotic distribution of the Hansen-Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan (1997), and develop a specification test of asset pri...
A finite dimensional approximation for pricing moving average options
pricing moving average
2010/12/13
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimension...
Finite-time singularity in the evolution of hyperinflation episodes
Finite-time evolution hyperinflation episodes
2010/12/13
A model proposed by Sornette, Takayasu, and Zhou for describing hyperinflation regimes based on adaptive expectations expressed in terms of a power law which leads to a finite-time singularity is revi...
Finite-sample Properties of Maximum Likelihood and Whittle Estimators in EGARCH and FIEGARCH Models
EGARCH fractionally integrated EGARCH maximum likelihood estimator
2010/9/7
EGARCH models for conditionally heteroscedastic time series have attracted a steadily increasing degree of attention in financial econometrics and related fields. These models are able to represent so...
