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51.
  总被引:5,自引:0,他引:5  
This paper is a review of many of the dozens of procedures currently available for testing a data set for goodness-of-fit to the multivariate normal distribution. A majority of the procedures can be placed into one of four basic categories. Most procedures are multivariate extensions or adaptations of procedures used for testing univariate normality. Results of several power studies are summarized, and an extensive bibliography of literature pertaining to testing for multivariate normality is provided.  相似文献   
52.
Durable consumption growth is persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. Durable consumption growth is left-skewed and exhibits time-varying volatility. I model durable consumption growth as containing a persistent expected component and driven by counter-cyclical volatility, nondurable consumption as a random walk, and dividend growth as exposed to the expected component of durable consumption growth. Together with nonseparable Epstein-Zin preferences, the model demonstrates that long-run risk in durable consumption can explain major asset market phenomena. The model also generates an upward-sloping real term structure.  相似文献   
53.
54.
We develop a model of labor productivity as a combination of capital-labour ratio, vintage of capital stock, regional externalities, and total factor productivity (TFP). The skewness of TFP distribution is related to different growth theories. While negative skewness is consistent with the neo-Schumpeterian idea of catching up with leaders, zero skewness supports the neoclassical view that deviations from the frontier reflect only idiosyncratic productivity shocks. We argue that positive skewness is consistent with an economy where exogenous technology is combined with non-transferable knowledge accumulated in specific sectors and regions. This argument provides the framework for an empirical model based on stochastic frontier analysis. The model is used to analyse regional and sectoral inequalities in Denmark.
Arnab BhattacharjeeEmail:
  相似文献   
55.
    
We propose an intertemporal asset pricing model that incorporates both preference for higher-order moments and stochastic investment opportunities and encompasses a wide range of existing models. We provide supporting evidence from the U.S. stock market and find that, not only is systematic skewness negatively priced, an extra return premium is also required for accepting high systematic risk associated with a rise in risk aversion. Our findings suggest that considering both skewness preference and intertemporal hedging demands improves the estimated risk-return trade-off, and that cross-sectional anomalies such as value, momentum, and failure probability puzzles can be partially explained by our model.  相似文献   
56.
Zuehlke and Rasmussen (1988) presented an investigation of selectivity bias in hedonic price functions estimated from sold subsamples. The empirical findings were sensitive to the degree of skewness allowed by the choice of offer distribution. With the generalized model presented in this paper, the degree of skewness present in the offer distribution is determined empirically, rather than imposed by assumption. This allows a test of the hypothesis advanced in Zuehlke and Rasmussen, that by failing to allow for an upward skew in offers, the normal distribution incorrectly attributes skewness in observed selling prices to censoring.  相似文献   
57.
    
We investigate whether: (i) co-skewness and co-kurtosis are significant factors in modeling hedge fund (HF) returns, (ii) HF return volatility displays clusters, asymmetry and shock persistence, (iii) volatility clusters of HF styles drive volatility clusters of one another, major asset classes, and major banking organizations, (iv) HF return and volatility patterns changed after the financial crises of 1998 and 2007–2009. A higher-moment EGARCH model and monthly data over January 1993–April 2014 period on 13 HF styles are employed. Out-of-sample forecasts are generated over the period of May 2014–April 2016. Results show: (i) most of the co-skewness and co-kurtosis coefficients are statistically significant, strongly supporting the higher-moment return generating models; (ii) there is strong evidence in favor of EGARCH specification, volatility clustering, asymmetry, and shock persistence; (iii) there were distinct effects on the returns and volatilities of HFs during the 1998 Russian bond crisis, Long-Term Capital Management crisis, and the 2007–2009 financial crisis; and (iv) shocks to volatility clusters of a HF style do spillover to other HF styles, major banking firms, and key asset classes. Our findings have major implications for regulators, investors, HF managers and hedging strategists.  相似文献   
58.
The Black-Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options professionals refer to this well-known phenomenon as a volatility ‘skew’ or ‘smile’. In this paper, we examine an extension of the Black-Scholes model developed by Corrado and Su that suggests skewness and kurtosis in the option-implied distributions of stock returns as the source of volatility skews. Adapting their methodology, we estimate option-implied coefficients of skewness and kurtosis for four actively traded stock options. We find significantly nonnormal skewness and kurtosis in the option-implied distributions of stock returns.  相似文献   
59.
In this study, we propose “SIX” as a new forward-looking index of negative market skew derived from state-preference pricing. Specifically, SIX is a forecast of the ratio of lower to upper partial moment volatility over a 30-day horizon, for SPX market returns. Using SPX options data from 1996 to 2013, we conduct a comparison between SIX and the CBOE SKEW index. First, we document that the daily change in VIX and SIX (SKEW) are negatively (positively) related. Second, we show that the daily change of SIX (SKEW) adds (does not add) significant explanatory power for predicting the one-day ahead return. Third, though biased, SIX produces an efficient forecast of future physical skewness. In contrast, there is no statistically significant relationship between SKEW and physical skewness. Collectively, our results suggest that as an indicator of institutional anxiety, both theoretically and in practice, SIX (SKEW) is a more than useful (questionable) complement to VIX.  相似文献   
60.
陈坚  张轶凡 《金融研究》2018,459(9):107-125
利用高频股票指数数据,本文构造了中国股票市场的已实现偏度,并检验了其对中国股票市场收益率的预测能力。实证结果显示,当前较低的已实现偏度可以显著预测下个月中国股票市场较高的超额收益率,样本内和样本外的R2分别达到了3.39%和2.24%。在控制了一系列的其它股票预测变量之后,该结论依然成立。此外,基于四种不同的构造方法,已实现偏度对上海和深圳两个股票市场都具有显著的预测能力。在将所有不同的已实现偏度指标进行组合之后,预测能力得到了进一步提升。从经济解释上,本文发现已实现偏度对股票收益率的预测能力是通过影响股票市场的交易活跃程度,从而传导到股票市场收益率。  相似文献   
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