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A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
statistical dependency structure marginal distributions New York Stock Exchange's TAQ database
2011/3/23
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-ba...
The US stock market leads the Federal funds rate and Treasury bond yields
time series the stock market FFR
2011/3/23
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the the...
Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes
Modified Holder Exponents USA Stock Market
2010/12/13
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and cras...