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arch模型     
相关语句
  arch model
     Bootstrap Method in ARCH Model
     Bootstrap方法用于ARCH模型
短句来源
     Influence Analysis of ARCH Model
     ARCH模型的影响分析
短句来源
     Venture Capital Investment Project Appraisal by Means of Black-Scholes Formula and ARCH Model
     基于Black-Scholes公式和ARCH模型的风险投资项目评价
短句来源
     ARCH Model and Its Application in Finance System
     金融系统ARCH模型及应用
短句来源
     The comparison of ARIMA model and ARCH model application in HongKong stock price index prediction
     ARIMA模型与ARCH模型在香港股指预测方面的应用比较
短句来源
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  arch models
     Diagnose analysis in ARCH models
     ARCH模型的诊断分析
短句来源
     Issues on ARCH Models, its applications and some developments
     ARCH模型及其应用与发展
短句来源
     There are two methods of measuring volatility: One is ARCH models, including ARCH,GARCH and other extended models, the other one is SV model.
     对于波动性的量测 (即异方差的量测 ) ,主要有两种模型方法 :其一是 ARCH模型族的量测方法 ,它包括 Engle的 ARCH模型 (1982 )、Bollerslev的 GARCH模型 (1986 )以及在此基础上提出的其他扩展模型 ;
短句来源
     Secondly, several common ARMA models and ARCH models are introduced in detail, and fractionally integrated models, such as ARFIMA and FIGARCH, which are developed in recent years, are introduced, too.
     然后介绍了几种常用的ARMA模型和ARCH模型,其次重点介绍了近几年刚刚发展的分整模型,即ARFIMA模型和FIGARCH模型,并对其进行比较分析,指出这些模型的不足和适用范围。
短句来源
     The problem of testing and parameters estimation for ARCH models are described.
     探讨了 ARCH模型的检验和参数估计问题 .
短句来源
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  arch modelling
     ARCH modelling system
     ARCH模型体系
短句来源
  “arch模型”译为未确定词的双语例句
     EMPIRICAL LIKELIHOOD INFERENCE ABOUT β-ARCH MODEL
     β-ARCH模型的经验似然推断
短句来源
     On the Research of Parameter Estimation for a Class of β-ARCH Model
     关于一类β-ARCH模型参数估计的研究
短句来源
     Research on relationship between ARCH and SV models
     ARCH模型与SV模型之间的关系研究
短句来源
     Revised models involves GARCH-GED model, ARFIMA-GARCH-t model and ARFMA-GARCH mixed normality model.
     模型包括ARMA模型、ARCH模型、GARCH模型、ARFIMA模型,修正模型包括GARCH-GED模型,ARFIMA-GARCH-t模型和ARFIMA-GARCH-混合正态模型。
短句来源
     Detection of Change-point in ARCH and GARCH Models
     ARCH模型和GARCH模型的变点检测
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  arch model
Shaking table tests of a 1:10 scale arch model performed to investigate the seismic behavior and resistance of concrete filled steel tubular (CFT) arch structures are described in this paper.
      
Modelling subset multivariate ARCH model via the AIC principle
      
In this paper we consider the problem of identifying a parsimonious subset multivariate ARCH model based on the AIC principle.
      
This anomaly cannot be explained by Edwards' embryonic double aortic arch model.
      
The corresponding time series was constructed using an Auto-Regressive Conditional Heteroscedastic (ARCH) model.
      
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  arch models
We show that autoregressive-conditional-heteroskedasticity (ARCH) models can encompass the observed anomalous scaling properties of stock price dynamics remarkably well.
      
We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.
      
A link between complete models with stochastic volatility and ARCH models
      
This paper discusses the problem of estimation for two classes of nonlinear models, namely random coefficient autoregressive (RCA) and autoregressive conditional heteroskedasticity (ARCH) models.
      
The square-transformation is important in prediction of the volatility of ARCH models.
      
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In this paper, We give an interpretation of ARCH model presented by Egnel (see[3]) in terms of both economics and model aspects. Several types of ARCHmodels are presented. We also give and empirical example of analysing the inflation in China wiht ARCH model. Finall, some issues on future research are lited.

本文介绍了计量经济学中近期发展较快而又极有应用前景的一类模型—自回归性异条件方差模型(ARCH—Autoregressive Conditional Heteroskedasticity),并从经济意义和模型意义两个方面论述了该模型的基本思想。另外我们还给出了ARCH模型的若干种变形,并给出了一个物价指数模型分析应用的例子。最后还提出了未来在理论和应用方面值得进一步研究的方向。

In this paper we first give the definition of forecasting uncertainty of macro-economic system. And we proposed a quantitative analysis method based on the ARCH class models. Finally an empirical results for case of China are presented.

本文首次给出了宏观经济系统预期不确定性的定义,并提出了利用一类ARCH模型对宏观经济系统预期不确定性进行定量分析的方法。最后给出了实证分析的应用例子

ARCH model, Autoregressive conditional heteroskedasticity, is a model for time sequence analysis which developed after 1982. In this paper, on the analysis of data character in finance markets, we present detaily the form and classes of ARCH, and its parameter estimation, hopothesis test, and some others theories. According to this discussion, we have approached the application foreground of ARCH model in finance markets preseach.

ARCH模型为最近15年里发展起来的关于时间序列的模型.由于它反映了随机过程的一种特殊特性:方差随时间而变化,从而在金融市场预测和决策中取得了显著成果.本文在分析金融市场数据特性的基础上,较为详细地介绍了ARCH模型的形式与分类、参数估计和模型假设检验等若干理论问题,并适当地探讨了ARCH模型在金融市场研究中的应用前景.

 
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