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内部出版物
SpringerLink电子期刊(14)
Elsevier电子期刊(11)
在“
Elsevier电子期刊
”中,
命中:
11
条,耗时:小于0.01 秒
在所有数据库中总计命中:
25
条
1.
Estimation of integrated
quadratic
covariation
with endogenous sampling times
作者:
Yoann Potiron
a
;
potiron@fbc.keio.ac.jp
;
Per A. Mykland
b
;
1
;
mykland@pascal.uchicago.edu
关键词:
C01
;
C02
;
C13
;
C14
;
C22
;
C32
;
C58
刊名:Journal of Econometrics
出版年:2017
2.
Estimating the
quadratic
covariation
matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
作者:
Sujin Park
a
;
Seok Young Hong
b
;
Oliver Linton
c
;
obl20@cam.ac.uk" class="auth_mail" title="E-mail the corresponding author
关键词:
Quadratic
covariation
;
Market microstructure noise
;
Asynchronous observations
;
Fourier Realized Kernel
刊名:Journal of Econometrics
出版年:2016
3.
On a class of generalized Takagi functions with linear pathwise
quadratic
variation
作者:
Alexander Schied
1
;
schied@uni-mannheim.de" class="auth_mail" title="E-mail the corresponding author
关键词:
Generalized Takagi function
;
Uniform modulus of continuity
;
Pathwise
quadratic
variation
;
Pathwise
covariation
;
Pathwise Itō calculus
;
Fö
;
llmer integral
刊名:Journal of Mathematical Analysis and Applications
出版年:2016
4.
Increased correlation among asset classes: Are volatility or jumps to blame, or both?
作者:
Yacine Aï
;
t-Sahalia
a
;
yacine@princeton.edu" class="auth_mail" title="E-mail the corresponding author
;
Dacheng Xiu
b
;
dacheng.xiu@chicagobooth.edu" class="auth_mail" title="E-mail the corresponding author
关键词:
Quadratic
covariation
;
Continuous and jump components
;
Overnight jumps
;
News surprises
;
Financial crisis
刊名:Journal of Econometrics
出版年:2016
5.
An estimator for the
quadratic
covariation
of asynchronously observed It? processes with noise: Asymptotic distribution theory
作者:
Markus Bibinger
bibinger@math.hu-berlin.de
关键词:
62M10
;
62G05
;
62G20
;
91B84
刊名:Stochastic Processes and their Applications
出版年:2012
6.
Nonsynchronous
covariation
process and limit theorems
作者:
Takaki Hayashi
a
;
takaki@kbs.keio.ac.jp"" rel=""nofollow
;
Nakahiro Yoshida
b
关键词:
Discrete sampling
;
High-frequency data
;
Martingale central limit theorem
;
Nonsynchronicity
;
Quadratic
variation
;
Realized volatility
;
Stable convergence
;
Semimartingale
刊名:Stochastic Processes and their Applications
出版年:2011
7.
Multivariate realised kernels: Consistent positive semi-definite estimators of the
covariation
of equity prices with noise and non-synchronous trading
作者:
Ole E. Barndorff-Nielsen
a
;
b
;
oebn@imf.au.dk"" rel=""nofollow
;
Peter Reinhard Hansen
c
;
peter.hansen@stanford.edu"" rel=""nofollow
;
Asger Lunde
d
;
b
;
alunde@asb.dk"" rel=""nofollow
;
Neil Shephard
e
;
f
;
neil.shephard@economics.ox.ac.uk"" rel=""nofollow
关键词:
HAC estimator
;
Long run variance estimator
;
Market frictions
;
Quadratic
variation
;
Realised variance
刊名:Journal of Econometrics
出版年:2011
8.
Gradient learning in a classification setting by gradient descent
作者:
Jia Cai
;
Hongyan Wang
;
Ding-Xuan Zhou
关键词:
Learning theory
;
Classification algorithm with convex loss
;
Gradient descent
;
Reproducing kernel Hilbert space
;
Approximation error
刊名:Journal of Approximation Theory
出版年:2009
9.
Weak Dirichlet processes with a stochastic control perspective
作者:
Fausto Gozzi
;
Francesco Russo
关键词:
Stochastic calculus via regularization
;
Weak Dirichlet processes
;
Stochastic optimal control
;
Cauchy problem for parabolic partial differential equations
刊名:Stochastic Processes and their Applications
出版年:2006
10.
Generalization of Itô's formula for smooth nondegenerate martingales
作者:
Moret
;
S.
;
Nualart
;
D.
关键词:
60H05
;
60H07
;
Itô
;
's formula
;
Malliavin calculus
;
Quadratic
covariation
刊名:Stochastic Processes and their Applications
出版年:2001
1
2
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