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Dynamic Covariance Models for Multivariate Financial Time Series
Dynamic Covariance Models Multivariate Financial Time Series
2013/6/14
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problem...
CHANGES OF STRUCTURE IN FINANCIAL TIME SERIES AND THE GARCH MODEL
integrated periodogram spectral distribution functional central limit theorem Kiefer-Muller process Brownian bridge sample autocorrelation change point GARCH process long range dependence IGARCH non-stationarity
2009/2/26
In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are gi...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends random walks efficient markets
2010/3/17
We are settling a longstanding quarrel in quantitative finance by proving the
existence of trends in financial time series thanks to a theorem due to P. Cartier
and Y. Perrin, which is expressed in ...