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1.
Decomposing Granger causality over the spectrum allows us to disentangle potentially different Granger causality relationships over different frequencies. This may yield new and complementary insights compared to traditional versions of Granger causality. In this paper, we compare two existing approaches in the frequency domain, proposed originally by Pierce [Pierce, D. A. (1979). R-squared measures for time series. Journal of the American Statistical Association, 74, 901–910] and Geweke [Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304–324], and introduce a new testing procedure for the Pierce spectral Granger causality measure. To provide insights into the relative performance of this test, we study its power properties by means of Monte Carlo simulations. In addition, we apply the methodology in the context of the predictive value of the European production expectation surveys. This predictive content is found to vary widely with the frequency considered, illustrating the usefulness of not restricting oneself to a single overall test statistic.  相似文献   
2.
基于谱分析的连续加工过程检验批量的确定   总被引:2,自引:0,他引:2  
在连续加工过程中 ,合理地确定检验批量 ,不仅可以反映加工过程的稳定性 ,而且也是确定抽样检验方案及检验频次的基础。本文主要利用时间序列的谱分析方法对连续加工过程的质量检测数据进行周期划分 ,从而确定抽样检验的批量 ,并根据周期分析结果 ,指出了导致加工质量产生波动的一些原因。  相似文献   
3.
This paper offers an econometric methodology for the detection of self-organisational change (defined in terms of the presence of time irreversibility, structural change and fundamental uncertainty) in economic processes that follow logistic diffusion growth paths in historical time. The approach we adopted is built upon recent developments in `moving window' spectral methods which are applied to the scaled residuals generated by estimated logistic diffusion models. We illustrate the use of such methods by examining the case of a financial instrument, namely, the Australian Building Society Deposit, which experienced logistic growth in its market share until bank deregulation was enacted in the 1980s. We show that there is clear evidence that self-organisational change is present over the historical period considered.  相似文献   
4.
    
This study presents an example of the linearization of a complex mean‐risk investment problem. The spectral risk measure is employed as a measure of risk and assets are assumed to have autocorrelation and conditionally heteroskedastic volatilities. Simulation results indicate that the proposed method saves a great deal of computational time. Empirical studies show that this strategy, implemented with certain trading frequency constraints, outperforms the equal‐weighted portfolio, the classical mean‐variance method, and the corresponding market index in Taiwan, the US, and Japan when considering transaction costs and different economic conditions.  相似文献   
5.
The quantification of operational risk has become an important issue as a result of the new capital charges required by the Basel Capital Accord (Basel II) to cover the potential losses of this type of risk. In this paper, we investigate second-order approximation of operational risk quantified with spectral risk measures (OpSRMs) within the theory of second-order regular variation (2RV) and second-order subexponentiality. The result shows that asymptotically two cases (the fast convergence case and the slow convergence) arise depending on the range of the second-order parameter. We also show that the second-order approximation under 2RV is asymptotically equivalent to the slow convergence case. A number of Monte Carlo simulations for a range of empirically relevant frequency and severity distributions are employed to illustrate the performance of our second-order results. The simulation results indicate that our second-order approximations tend to reduce the estimation errors to a great degree, especially for the fast convergence case, and are able to capture the sub-extremal behavior of OpSRMs better than the first-order approximation. Our asymptotic results have implications for the regulation of financial institutions, and may provide further insights into the measurement and management of operational risk.  相似文献   
6.
    
Our paper explores the prospects for the proposed East African Monetary Union (EAMU) by employing rigorous empirical tools to analyse business cycles synchronisation, structural cross-correlations, spectral decomposition and regional clusters to identify different cyclical episodes, periodicities and characterise the economic cycles of East African countries. We find that cyclical movements reflect various idiosyncratic, common, historical and external shocks in the region. Secondly, all countries appear to be structurally correlated with each other except for South Sudan and Burundi. Our results also observe that the contemporaneous co-movements of East African Community (EAC) cycles with those of Kenya and Tanzaniaare procyclical with coincidental path shift, while the same EAC cycles appear to be acyclical with those of Burundi. Additionally, from the spectral decomposition, Kenyan cycles take 10 years to complete, while those of Tanzania and Rwanda take 8 years. Ugandan and Burundian cycles take approximately 5 years, while the cyclical frequency for South Sudan corresponds to 3.3 years. Finally, the cluster characterisation of countries reveals that South Sudan, Burundi and Rwanda form a group, while Kenya and Tanzania from a group distinct from the rest. We urge the member countries to prioritise policies on regional risk-sharing and adjustment mechanisms, in addition to establishing credible institutional infrastructure that ensures surveillance and enforcement of convergence conditions adopted in EAMU protocol.  相似文献   
7.
Analysis, model selection and forecasting in univariate time series models can be routinely carried out for models in which the model order is relatively small. Under an ARMA assumption, classical estimation, model selection and forecasting can be routinely implemented with the Box–Jenkins time domain representation. However, this approach becomes at best prohibitive and at worst impossible when the model order is high. In particular, the standard assumption of stationarity imposes constraints on the parameter space that are increasingly complex. One solution within the pure AR domain is the latent root factorization in which the characteristic polynomial of the AR model is factorized in the complex domain, and where inference questions of interest and their solution are expressed in terms of the implied (reciprocal) complex roots; by allowing for unit roots, this factorization can identify any sustained periodic components. In this paper, as an alternative to identifying periodic behaviour, we concentrate on frequency domain inference and parameterize the spectrum in terms of the reciprocal roots, and, in addition, incorporate Gegenbauer components. We discuss a Bayesian solution to the various inference problems associated with model selection involving a Markov chain Monte Carlo (MCMC) analysis. One key development presented is a new approach to forecasting that utilizes a Metropolis step to obtain predictions in the time domain even though inference is being carried out in the frequency domain. This approach provides a more complete Bayesian solution to forecasting for ARMA models than the traditional approach that truncates the infinite AR representation, and extends naturally to Gegenbauer ARMA and fractionally differenced models.  相似文献   
8.
移动通信信号自动调制识别的谱相关方法   总被引:1,自引:0,他引:1  
一些不同的数字调制信号有着相同或相近的功率谱密度,但它们的谱相关函数却有明显区别。平稳的噪声和干扰的谱相关为零。利用谱相关函数的这些性质可以识别出噪声中的调制信号。本文提出了一种用于移动通信信号自动调制识别的谱相关算法,该方法可以识别各种主要无线系统和标准所采用的调制类型。  相似文献   
9.
鉴于现行的均值格兰杰因果关系检验或者无法检验非线性的格兰杰因果关系,或者存在“维数灾难”问题,我们利用Chung 和 Hong (2007) 的广义交叉谱方法提出了一个能统一检验线性和非线性均值格兰杰因果关系的检验统计量。我们的广义交叉谱检验统计量渐近服从一个标准正态分布,它不但能考虑所有滞后阶的信息,而且避免了“维数灾难”问题。蒙特卡罗试验结果表明广义交叉谱检验具有良好的有限样本表现。  相似文献   
10.
时间序列的结构分析是深入研究原始序列的重要前提。应用奇异谱分析并以极大熵谱估计为辅助,对我国广义货币供应量M2进行时间序列结构分析,结果显示:改革开放以来,我国广义货币供应量M2除了趋势项外,还具有周期分别约为10年、4~5年和3年,方差解释能力依次为23.22%、7.48%和3.44%的主周期波动成分;所有的周期波动成分的振幅均随时间而增大;长期趋势在改革开放前期增长速度较慢,而在中后期增长速度较快。  相似文献   
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