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Randomised Mixture Models for Pricing Kernels
Pricing kernel asset pricing, interest rate modelling yield curve randomised mixtures Lévy processes Esscher martingales weighted heat kernel Markov processes
2011/12/28
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial m...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...