共查询到19条相似文献,搜索用时 46 毫秒
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时间序列平滑法在产品产量预测中的应用 总被引:1,自引:0,他引:1
应用收益法进行企业价值评估必须对企业的未来收益进行预测。如何科学地预测企业的未来收益,始终是企业价值评估中的难点。而产品产量(销量)的预测又是企业未来收益预测的基础。本文介绍了布朗单一参数线性指数平滑法、霍特双参数指数平滑法、布朗三参数指数平滑法及温特线性和季节性指数平滑法四种时间序列平滑法在产品产量预测中的应用,并对这四种方法的适用范围进行了总结。 相似文献
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提出了一种基于灰色-ARIMA的金融时间序列智能混合预测模型。首先建立金融时间序列灰色预测模型,并采用PSO算法对灰色模型的三个参数进行优化;利用ARIMA算法对预测模型的残差进行分析,同时采用遗传算法对ARIMA的系数进行优化;最后用ARIMA的残差预测结果对灰色预测模型进行补偿。结果表明,以较好的精度拟合一段时期内MA107的时间序列,预测误差控制在5%以上,与单纯的灰色预测算法和神经网络算法相比,在平均绝对误差、均方根误差和趋势准确率三项评价指标上,具有明显优势。 相似文献
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基于拐点集合判别的TBUD方法主要思路是分析拐点集合间的关系,并在高维空间进行划分,从而搭建判别模型,并将分析框架应用在特质波动率等若干指标上,利用实证数据得到结论。应用 TBUD判别框架可以发现,特质波动率等指标无法对拐点集合进行清晰划分,因而并不具有预测能力。 相似文献
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基于时间序列模型的中国GDP增长预测分析 总被引:1,自引:0,他引:1
作为度量一个国家或地区所有常住单位在一定时期之内所生产和所提供的最终产品或服务的重要总量指标,如果能够对GDP做出正确的预测,必然可以有效引导宏观经济健康发展,为高层管理部门提供决策依据。选用适合短期预测的ARIMA模型对中国1952~2010年的GDP进行计量建模分析,预测结果认为未来五年中国的经济增长仍将处于一个水平较高的上升通道。 相似文献
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Christos Ioannidis David A. Peel Michael J. Peel 《Journal of Business Finance & Accounting》2003,30(5-6):699-714
This paper re‐evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non‐linear mean‐reverting processes. Financial ratios are widely employed as explanatory variables in accounting and finance research with applications ranging from the determinants of auditors' compensation to explaining firms' investment decisions. An implicit assumption in this empirical work is that the ratios are stationary so that the postulated models can be estimated by classical regression methods. However, recent empirical work on the time series properties of corporate financial ratios has reported that the level of the majority of ratios is described by non‐stationary, I (1), integrated processes and that the ratio differences are parsimoniously described by random walks. We hypothesize that financial ratios may follow a random walk near their target level, but that the more distant a ratio is from target, the more likely the firm is to take remedial action to bring it back towards target. This behavior will result in a significant size distortion of the conventional stationarity tests and lead to frequent non‐rejection of the null hypothesis of non‐stationarity, a finding which undermines the use of these ratios as reliable conditioning variables for the explanation of firms' decisions. 相似文献
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财务预测信息虚假陈述的认定 总被引:1,自引:0,他引:1
蒋尧明 《中央财经大学学报》2005,(3):76-80
由于财务预测信息具有明显的模糊性和不确定性,因此,对于财务预测信息是否存在虚假陈述的判断标准的建立,拟借鉴美国的"安全港规则"和"忠实表达警示文字原则",即只要预测性财务信息是基于诚信原则编制,并且编制时所采用的各种基本假设、基本原则、预测目的和范围、编制方法、基本步骤均属合理性,并对预测信息中可能存在的虚假陈述作了必要的警示,且一旦客观条件变化导致原先据以作出预测的合理假设、基础发生变化或不存在而使预测信息变得不真实时,已及时披露并且出具更正信息,那么即使预测信息没有达到预定目标,也不属于虚假陈述行为,不应承担行政责任和民事责任. 相似文献
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This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2004, 2005, 2006) to an infinite horizon setting.
Thus, we are able to assess how the model conforms with the time series data of the UK banking system. We conclude that, since
the model performs satisfactorily, it can be readily used to assess financial fragility given its flexibility, computability,
and the presence of multiple contagion channels and heterogeneous banks and investors.
JEL Classification Numbers C68, E4, E5, G11, G21
We are grateful to seminar participants at the Bank of England, European Central Bank, University of Oxford, University of
Pireaus, 59th International Atlantic Economic Conference, London and especially an anonymous referee for helpful comments
and suggestions 相似文献
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Hiroki Tsurumi 《Asia-Pacific Financial Markets》2000,7(3):209-237
A survey of Bayesian statistical computations of quadratureformula, Laplace approximation, and Markov Chain Monte Carlo algorithms ispresentedand their applications to nonlinear financial time series models arediscussed. 相似文献
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This paper reports the results of an examination of the time series properties of a range of accounting numbers and ratios which may be associated with firm valuation. The work extends earlier research, which has concentrated on earnings or its derivatives, and which has found that earnings numbers follow a random walk or similar stochastic process. The tests reported in this paper suggested that, during the 25 year period studied, annual changes in a wide range of accounting variables also were, for the most part, random. Significant departures from randomness occurred only in variables where there were a priori reasons for believing that serial dependence would exist. 相似文献
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中国房地产金融运行状况和发展展望 总被引:1,自引:0,他引:1
中国房地产金融对支持房地业快速发展起到了重要作用,但存在金融创新不足、金融风险较大等问题,需要进一步完善房地产金融市场,加快金融创新,维护金融稳定,支持房地业的健康发展。 相似文献