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内部出版物
SpringerLink电子期刊(1)
ProQuest学位论文(8)
Elsevier电子期刊(18)
在“
Elsevier电子期刊
”中,
命中:
18
条,耗时:小于0.01 秒
在所有数据库中总计命中:
27
条
1.
Revisiting the multifractality in stock returns and its modeling implications
作者:
Shanshan He
;
Yudong Wang
;
wangyudongnj@126.com
关键词:
MF-DMA
;
Multifractality
;
Stock return
;
Fat-tailed distribution
;
ARFIMA
-
GARCH
刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
2.
Liquidation discount—a novel application of
ARFIMA
-
GARCH
作者:
Ranjodh B. Singh
a
;
John Gould
a
;
1
;
j.gould@curtin.edu.au" class="auth_mail" title="E-mail the corresponding author
;
Felix Chan
a
;
Joey Wenling Yang
b
关键词:
C5
;
G19
刊名:Journal of Empirical Finance
出版年:2016
3.
Long memory and structural change in the G7 inflation dynamics
作者:
Mustapha Belkhouja
a
;
mustapha.belkhouja@grenoble-em.com" class="auth_mail" title="E-mail the corresponding author
;
Imene Mootamri
b
关键词:
ARFIMA
;
GARCH
;
Long memory
;
Structural change
;
Inflation
;
G7
刊名:Economic Modelling
出版年:2016
4.
Modeling Latin-American stock markets volatility: Varying probabilities and mean reversion in a random level shift model
作者:
Gabriel Rodrí
;
guez
;
gabriel.rodriguez@pucp.edu.pe" class="auth_mail" title="E-mail the corresponding author
关键词:
C22
;
C52
;
G12
刊名:Review of Development Finance
出版年:2016
5.
Self-weighted quasi-maximum exponential likelihood estimator for
ARFIMA
-
GARCH
models
作者:
Baoguo Pan
a
;
b
;
pbgpbg2003@163.com
;
Min Chen
a
;
关键词:
ARFIMA
-
GARCH
;
Self-weighted quasi-maximum exponential likelihood estimator
;
Asymptotic normality
;
Stationarity
刊名:Journal of Statistical Planning and Inference
出版年:2013
6.
Modeling and forecasting daily average PM
10
concentrations by a seasonal long-memory model with volatility
作者:
Vald茅rio Anselmo Reisen
;
Aless
;
ro Jos茅 Queiroz Sarnaglia
;
Neyval Costa Reis Jr.
;
C茅line L茅vy-Leduc
;
Jane M茅ri Santos
关键词:
Fractional differencing
;
Long-memory
;
ARFIMA
;
Seasonality
;
Heteroscedasticity
;
PM10 contaminant
刊名:Environmental Modelling and Software
出版年:January, 2014
7.
Modeling and forecasting the volatility of petroleum futures prices
作者:
Sang Hoon Kang
a
;
Seong-Min Yoon
b
;
smyoon@pusan.ac.kr
关键词:
C32
;
C52
;
G17
;
Q40
刊名:Energy Economics
出版年:2013
8.
On the estimation and diagnostic checking of the
ARFIMA
-HY
GARCH
model
作者:
Wilson Kwan
a
;
ccwilson@hkcc-polyu.edu.hk
;
Wai Keung Li
b
;
hrntlwk@hku.hk
;
Guodong Li
b
;
gdli@hku.hk
关键词:
HY
GARCH
model
;
Long memory in volatility
;
Portmanteau test
刊名:Computational Statistics and Data Analysis
出版年:2012
9.
What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications
作者:
Yudong Wang
;
wangyudongnj@126.com
;
Chongfeng Wu
cfwu@sjtu.edu.cn
关键词:
Crack spread
;
Multifractal detrended moving average
;
Long-range auto-correlations
;
Modeling implications
刊名:Economic Modelling
出版年:2012
10.
Forecasting Italian electricity zonal prices with exogenous variables
作者:
Angelica Gianfreda
;
Luigi Grossi
关键词:
C22
;
C32
;
C51
;
C53
刊名:Energy Economics
出版年:2012
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