经济学 >>> 理论经济学 世界经济学 应用经济学
搜索结果: 1-15 共查到经济学 Correlations相关记录24条 . 查询时间(0.078 秒)
We introduce a new measure for the capital market eciency. The measure takes into considera-tion the correlation structure of the returns (long-term and short-term memory) and local herding behavior ...
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
We measure the correlations between two citiesreal GDP growth rates (a measure of business cycle correlations) to capture the degree of segmentation across China’s provincial and regional borders.
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahi...
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock mark...
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is ...
Correlations in commodity markets     Correlations  commodity  markets       2010/12/17
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning t...
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the ...

中国研究生教育排行榜-

正在加载...

中国学术期刊排行榜-

正在加载...

世界大学科研机构排行榜-

正在加载...

中国大学排行榜-

正在加载...

人 物-

正在加载...

课 件-

正在加载...

视听资料-

正在加载...

研招资料 -

正在加载...

知识要闻-

正在加载...

国际动态-

正在加载...

会议中心-

正在加载...

学术指南-

正在加载...

学术站点-

正在加载...