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On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
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 th...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...