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31.
由于存在边界检验和不可定义参数检验问题,检验跳跃现象的沃尔德、尤度比统计量都不再渐进服从正态分布(或卡方分布)。本文从Jump-EGARCH(N)和Jump-EGARCH(t)过程两个侧面,应用迪拉克·得鲁塔函数解决退化参数的微、积分计算的基础上,提议与不可定义参数无关的拉格朗日乘数检验统计量,并实施蒙特卡罗仿真实验和实证分析验证提议统计量的检验能力。 相似文献
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We test for lead-lag effects in the mean and variance among size-sorted portfolios for the UK stock market. We construct three sets of portfolios, namely a set of size-sorted equally-weighted portfolios of different capitalization size, a set of size-sorted value-weighted portfolios of different capitalization size, and a third set of portfolios of the same capitalization size. The recently proposed Cross Correlation Function test is employed. For both sets of portfolios with different capitalization size, we find evidence of a lead effect in both the mean and the variance from large-firm portfolios to small-firm portfolios. This result does not depend on the weighting scheme used to construct portfolios, and indicates that contrarian trading strategies on large-firm portfolios are profitable. For portfolios of equal capitalization size, there is hardly any evidence of a lead-lag effect in either the mean or the variance. This suggests that the lead-lag effect is due to the difference in the capitalization size among portfolios.I wish to thank two anonymous referees for helpful comments on a previous draft of this paper. The usual disclaimer applies.ing scheme.First version received: February 2002/Final version received: May 2003 相似文献
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This study examines the relationship between fund past performance and manager choice of portfolio risk in Taiwan. Employing the exponential generalized autoregressive conditional heteroscedasticity and linear regression models, the results demonstrate that historically poor average performance does not increase mutual fund tracking error (TE) or portfolio risk. Additionally, yearly tournament behaviour, namely mid-year losers increasing their last-half year TEs, only appears in funds with higher management fees. This implies that managers of high management fee funds actively increase TE in response to poor historical performance, to enable them to beat the market during future months or the second half of the year. 相似文献
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信息冲击是引起股票收益率波动的重要原因,研究分类信息对波动的影响对资产配置的风险控制具有重要的理论及现实意义.本文提出了基于高频数据的分类信息混合分布EGARCH模型,将上证指数的5分钟高频数据作为研究对象,将去除了趋势性和序列相关性的非预期对数交易量分解为进入市场的"强的正信息流"、"弱的正的信息流"、"强的负信息流"、"弱的负信息流"4部分,作为分类信息流代理,分别加入EGARCH模型的方差方程中,考察分类信息对我国上证指数波动性的影响.结果表明,作为分类信息代理的成交量能够在一定程度上解释波动的持续性.此外,较之简单的将信息分类为"好消息"和"坏消息",按冲击强度划分的"强的正信息流"和"强的负信息流"能更有效的描述信息冲击对波动的影响.其中,"弱的正信息流"和"弱的负信息流"带来的冲击对波动的影响不大,而"强的正信息流"和"强的负信息流"带来的冲击则对波动具有一定的影响. 相似文献
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ABSTRACT Using a multivariate exponential generalized autoregressive conditionally heteroscedastic (M-EGARCH) model, this study examines price and volatility spillovers and response asymmetries between the equity markets of the United States and Brazil, Chile and Mexico. Our results vary depending on the openness of the country in terms of international trade. Evidence indicates that there are price and volatility spillovers from the United States to Mexico and Chile and but not to Brazil. In addition, our results indicate response asymmetries for Mexico and Chile, suggesting that the Mexican and Chilean markets are more sensitive to negative innovations originating from other markets than to positive innovations. RESUMEN. Este estudio examina contagios de precio y volatilidad, y respuestas asimétricas entre los mercados de capital de Estados Unidos y Brasil, Chile y México, fundándose en un modelo exponencial generalizado multivariado, con un condicionante autoregresivo heteroscedástico (M-EGARCH). Los resultados obtenidos varían, dependiente del nivel de apertura de un país en lo que concierne al comercio internacional. Las pruebas indican que existen contagios de precio y volatilidades desde los Estados Unidos hacia México y Chile, pero no hacia Brasil. Además, los resultados también indican asimetrías de respuesta para México y Chile, sugiriendo que estos dos mercados son más sensibles a las innovaciones negativas que se originan en otros mercados, que a las innovaciones positivas. RESUMO. Usando um modelo condicionalmente heterocedástico, autoregressivo, generalizado, exponencial e multivariado (M-EGARCH), este estudo examina contágios de preços e volatilidade, e assimetrias de resposta entre mercados de ações dos EUA e Brasil, Chile e México. Nossos resultados variam, dependendo da abertura do país em termos de comércio internacional. Os dados indicam que existem contágiosde preço e volatilidade dos EUA para o México e Chile, mas não para o Brasil. Além disso, nossos resultados indicam assimetrias de resposta para o México e Chile, sugerindo que estes mercados são mais sensíveis a inovações negativas originárias de outros mercados do que a inovações positivas. 相似文献
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Abstract This paper investigates the short-term dynamics of stock returns in an emerging stock market namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally heteroscedastic processes with time-dependent serial correlation. The conditional variance follows an EGARCH process, while for the conditional mean three nonlinear specifications are tested, namely: (a) the LeBaron exponential autoregressive model; (b) the Sentana and Wadhwani positive feedback trading model; and finally (c) a model that nests both (a) and (b). There is an inverse relationship between volatility and autocorrelation consistent with the findings from several other stock markets, including the US. This pattern could be the manifestation of a certain form of noise trading namely positive feedback trading or, momentum trading strategies. There is little evidence that market declines are followed with higher volatility than market advances, the so-called ‘leverage effect’, that has been observed in almost all developed stock markets. In out of sample forecasts, the nonlinear specifications provide better results in terms of forecasting both first and second moments of the distribution of returns. 相似文献
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Yanxia Jiang Dagang Ke 《美中经济评论(英文版)》2006,5(5):16-21
This paper provides a review of some theoretical results for ARCH-type models, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, various ARCH-type models, including exponential GARCH, threshold ARCH, ARCH-in-Mean and multivariate ARCH are reviewed. 相似文献
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方杰 《福建商业高等专科学校学报》2011,(3):89-93
通过使用EGARCH模型,以中国证券市场具有代表性的三个指数为研究对象,从实证的角度分析市场异象中的周内效应.结果表明,从长期看,我国证券市场存在显著的周一效应.从短期看,证券市场大盘处于上升期还存在周二、周三甚至是周四效应;在下跌横盘期,周内效应不显著;在上升横盘期除了周一效应显著外,还存在显著的周五效应.上升期和下... 相似文献