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 参数估计
 on the basis of introducing non-linear theory, this paper discusses the methods of parameter estimating and ARCH test of the sample data. 论文在介绍非线性理论方法的基础上,讨论了ARCH类模型的参数估计及样本数据ARCH效应的检验方法。 短句来源
 参数估计
 on the basis of introducing non-linear theory, this paper discusses the methods of parameter estimating and ARCH test of the sample data. 论文在介绍非线性理论方法的基础上,讨论了ARCH类模型的参数估计及样本数据ARCH效应的检验方法。 短句来源
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 Thus, we should use multivariate GARCH models, such as VECH models, BEKK models, CCC models. But they have several limitations in parameter estimating, calculating andexplaining. 常用的多变量GARCH模型主要有VECH模型、对角VECH模型、BEKK模型、CCC模型等，但它们普遍存在待估参数过多、计算过于复杂、经济意义不明确等缺点，而Engle(2001)提出的动态条件相关多变量GARCH模型(DCC—MVGARCH)就很好地弥补了这些缺陷。 短句来源

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 parameter estimating
 Application of martingale arguments to the regression parameter estimating function show the Breslow (1974) estimator to be consistent and asymptotically Gaussian under this model. Compared with other traditional methods, this control law reduces on-line parameter estimating burden. The 15 L volume provides sufficient biomass to conduct parameter-estimating experiments from a BNR-functioning biomass. This concept is consistent with low-order autoregressive linear models, and is routinely used for parameter estimating.
 Based on integration and Johansen Juselius cointegration test findings, this paper constructs an error correction model(ECM), which describes non linear adjustment process of renminbi(RMB) against the U.S dollar bilateral exchange rate to long term equilibrium under new exchange rate arrangement in China. The empirical analysis results suggest that all parameters estimated are of the expected sign, and that the single long run relationship exists estimated are of the expected sign, and that the single... Based on integration and Johansen Juselius cointegration test findings, this paper constructs an error correction model(ECM), which describes non linear adjustment process of renminbi(RMB) against the U.S dollar bilateral exchange rate to long term equilibrium under new exchange rate arrangement in China. The empirical analysis results suggest that all parameters estimated are of the expected sign, and that the single long run relationship exists estimated are of the expected sign, and that the single long run relationship exits among RMB against US\$ exchange rate, foreign exchange reserves, and changes in international foreign exchange markets, e.g., Japanese Yen against the U.S.dollar bilateral exchange rate. The ECM model shows that non linear dynamic adjustment process of RMB against the U.S. dollar exchange rate maintains stable and significant relationships to foreign exchange reserves, imports, and Japanese Yen against the U.S. dollar bilateral exchange rate. 首先应用协整方法检验人民币汇率、外汇储备、进出口及国际外汇市场的汇率（日元对美元的双边汇率）变化的可积性和变量之间的协整关系，进而建立用来描述人民币汇率由短期波动向长期均衡非线性调整的动态过程的误差修正模型．实证分析结果表明，模型的所有估计系数具有我们建模时设定的符号；并且人民币汇率、外汇储备及美元／日元汇率之间存在唯一的长期稳定关系，即协整关系；短期预测模型不仅具有令人满意的拟合效果和预测能力，而且具有结构稳定性 The Markowitz portfolio model was put forward. That is, when investors are making decision, they always hope to obtain maximum yield instead of minimum venture, or the investors often do their best efforts to reduce venture in front of definite yield. The hypothesis conditions of Markowitz portfolio model were analyzed, such as market efficiency,venture measure, parameter estimate time-availability, zero bargain fee, and so on. The main problems about Markowitz portfolio theory in China were put forward... The Markowitz portfolio model was put forward. That is, when investors are making decision, they always hope to obtain maximum yield instead of minimum venture, or the investors often do their best efforts to reduce venture in front of definite yield. The hypothesis conditions of Markowitz portfolio model were analyzed, such as market efficiency,venture measure, parameter estimate time-availability, zero bargain fee, and so on. The main problems about Markowitz portfolio theory in China were put forward and a new idea on optimal portfolio investment model improvement was expounded. 对马克维茨 (Markowitz)投资组合 (Portfolio)模型进行了阐述 ,即投资者进行决策时总希望用尽可能小的风险获得尽可能大的收益 ,或在收益率一定的情况下 ,尽可能降低风险·并且针对马克维茨投资组合模型假设条件中的市场效率、风险测度、参数估计时效性、零交易费用等假设条件进行了分析 ,提出了马克维茨证券组合理论在我国运用存在的主要问题 ,并对组合证券投资优化模型的改进提出了自己的思路· This paper presents a quasi maximum likelihood estimation of stochastic volatility model based on tabu search genetic algorithms, and monte carlo experiments show that the method performs well with respect to both parameter estimates and volatility estimates We also illustrate the method by analyzing daily stock return on the shanghai stock exchange and find the high persistence in volatility for the return series 对随机波动 (SV)模型提出了一种基于禁忌遗传算法的伪极大似然 (TSGA- QML )估计 .Monte Carlo试验表明这种方法在参数估计与波动估计上都有较好效果 .利用这一方法对上海股市收益进行了波动分析 ,发现上海股市的收益具有很高的波动持续性 . << 更多相关文摘
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