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At ACM-CCS 2014, Cheon, Lee and Seo introduced a new number-theoretic assumption,
the Co-Approximate Common Divisor (Co-ACD) assumption, based on which they constructed several
cryptographic primiti...
基于ACD模型的中国期货市场波动性
高频数据 久期 日内效应 ACD-GARCH模型
2012/3/12
通过用久期来调整收益率, 把非等距数据等距化, 构建ACD-GARCH模型来反映高频波动特征.并添加微观结构变量, 构建了ACD-GARCH-M模型, 用以分析久期、交易量与收益率和波动率的关系.结果表明: 较长的久期是由于信息缺乏所致, 久期对收益率的影响不显著, 但久期和价格的波动性负相关.交易量和价格的波动性正相关.在加入了微观解释变量的ACD-GARCH-M模型中, GARCH效应大大减弱...
分别使用包含``天数变量''的Log-ACD和Copula模型对股票的连涨和连跌收益率的边缘分布以及二者的联合分布进行了拟合,检验结果表明该模型拟合的效果要优于传统方法.对上证180指数数据做了实证研究,并使用条件VaR对股票连涨连跌收益率进行风险分析,实证结果证明该模型的拟合结果与股市的实际情况是相吻合的.投资者可以依照模型得出的``涨跌风险对比图''分析当前股票市场的涨跌风险对比,从而指导投资...
The Statistical Properties of Exponential ACD Models
Exponential ACD models generalized F distribution unconditional moments
2010/9/7
This paper examines some of the statistical properties of exponential ACD models. To allow for nonmonotonic hazard functions we use either the generalized Gamma or the generalized F distributions. Con...
The Moments of Log-ACD Models
Duration model overdispersion autocorrelation function high frequency financial data
2010/9/7
We provide existence conditions and analytical expressions of the moments of Log-ACD models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD and SC...