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61.
62.
Given a pricing kernel we investigate the class of risks that are not priced by this kernel. Risks are random payoffs written
on underlying uncertainties that may themselves either be random variables, processes, events or information filtrations.
A risk is said to be not priced by a kernel if all derivatives on this risk always earn a zero excess return, or equivalently
the derivatives may be priced without a change of measure. We say that such risks are not kernel priced. It is shown that
reliance on direct correlation between the risk and the pricing kernel as an indicator for the kernel pricing of a risk can
be misleading. Examples are given of risks that are uncorrelated with the pricing kernel but are kernel priced. These examples
lead to new definitions for risks that are not kernel priced in correlation terms. Additionally we show that the pricing kernel
itself viewed as a random variable is strongly negatively kernel priced implying in particular that all monotone increasing
functions of the kernel receive a negative risk premium. Moreover the equivalence class of the kernel under increasing monotone
transformations is unique in possessing this property.
相似文献
63.
A three parameter stochastic process, termed the variance gammaprocess, that generalizes Brownian motion is developed as amodel for the dynamics of log stock prices. Theprocess is obtainedby evaluating Brownian motion with drift at a random time givenby a gamma process. The two additional parameters are the driftof the Brownian motion and the volatility of the time change.These additional parameters provide control over the skewnessand kurtosis of the return distribution. Closed forms are obtainedfor the return density and the prices of European options.Thestatistical and risk neutral densities are estimated for dataon the S&P500 Index and the prices of options on this Index.It is observed that the statistical density is symmetric withsome kurtosis, while the risk neutral density is negativelyskewed with a larger kurtosis. The additional parameters alsocorrect for pricing biases of the Black Scholes model that isa parametric special case of the option pricing model developedhere. 相似文献
64.
Using a GARCH approach, we estimate a time–varying two–factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time–variation in the exposure (beta) of country equity index returns to the world market index and in the risk–adjusted excess returns (alpha). We then explain these world market betas and alphas using a number of country–specific macroeconomic and financial variables with a panel approach. We find that several variables including imports, exports, inflation, market capitalisation, dividend yields and price–to–book ratios significantly affect a country's exposure to world market risk. Similar conclusions are obtained by using lagged explanatory variables, and thus these variables may be useful as predictors of world market risks. Several variables also significantly impact the risk–adjusted excess returns over this time period. Our results are robust to a number of alternative specifications. We further discuss some economic hypotheses that may explain these relationships. 相似文献
65.
Pricing options on realized variance 总被引:1,自引:0,他引:1
66.
Dilip B. Madan 《Quantitative Finance》2013,13(5):777-787
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics of equity forward prices. Transition probabilities are in the variance gamma class with spot dependent parameters. Markov chain approximations give access to option prices. The model is estimated on option prices across strike and maturity for five days at a time. Properties of the estimated processes are described via an analysis of return quantiles, momentum functions that measure the response of tail probabilities to such moves. Momentum and reversion are also addressed via the construction of reverse conditional expectations. Term structures for the moments of marginal distributions support a decay in skewness and excess kurtosis with maturity at rates slower than those implied by Lévy processes. Out of sample performance is additionally reported. It is observed that risk neutral dynamics by and large reflect the presence of momentum in numerous probabilities. However, there is some reversion in the upper quantiles of risk neutral return distributions. 相似文献
67.
Option overlays on a rebalanced portfolio are designed. Inputs to the design problem are the physical and risk neutral probabilities at the option maturity. They are estimated from time series and option data, respectively. The objective for the design is the bid price of a two price economy modelled as a distorted expectation. The design is monotone increasing in the underlier with a delta constraint. The option positioning is implemented on the S&P 500 index, supposedly rebalanced every 21 days with option positions taken 10 days prior to a rebalance date with a maturity near two months. Option overlays are seen to raise performance measures and reduce drawdowns. 相似文献
68.
Costa Rica is often cited as a model for Central American economies because of its strong democratic institutions, political stability, and open economy. Foreign investment continues to play a pivotal role in fueling economic growth, particularly in the electronics, services, and medical components sectors. A strong record of social investments has resulted in a superior human resource base, a skilled labor pool, and preservation of its biodiversity. The recent formation of the Central American Free Trade Agreement (CAFTA) provides new opportunities for the country but has also increased the pressures for more openness and privatization, particularly in the telecommunications industry, provoking fresh internal debate about the balance between economic growth and preserving social institutional arrangements. © 2005 Wiley Periodicals, Inc. 相似文献
69.
Dilip K. Das 《Economic Affairs》2008,28(3):57-61
The focus of this article is on the rapid growth of the Chinese economy and its ongoing interaction with the rest of Asia. It concludes that rapid growth in both Asia and China has resulted from free‐market‐oriented neoclassical economic policies and principles. Owing to its economy's size, its openness and the briskness of its GDP growth, China has influenced economies across the globe as well as the more proximate regional economy. 相似文献
70.
The Second Fundamental Theorem of Asset Pricing 总被引:2,自引:0,他引:2
This paper presents a resolution of the paradox proposed by the example of an economy with complette markets and a multiplicityof martingale measures constructed by Artzner and Heath (1995). The resolution lies in noting that completeness is with respect to a topology on the space of cash flows and is connected with uniqueness of the price functional in the topological dual space. Uniqueness may be lost outside the dual and this is what occurs in the counterexample of Artzner and Heath. 相似文献