搜索结果: 1-15 共查到“经济学 Decomposition”相关记录15条 . 查询时间(0.078 秒)
An algorithm for the orthogonal decomposition of financial return data
portfolio selection mean-variance analysis principal components of risk
2012/9/14
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and “systemic”, “productive”, and “nonproductive”risk. Generally, when the nu...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
The World Economy(2011)—The Abatement of Carbon Dioxide Intensity in China: Factor Decomposition and Policy Implications
The World Economy The Abatement of Carbon Dioxide Intensity in China Factor Decomposition Policy Implications
2014/1/13
The World Economy(2011)—The Abatement of Carbon Dioxide Intensity in China: Factor Decomposition and Policy Implications。
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
time-series dynamic minimum-variance variance reduction
2011/3/30
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropria...
Inter-industry Inequality: An Important Source of the Urban Income Gap—Regression-based Decomposition
行业垄断 收入差距 分解夏普里值
2014/1/13
基于回归方程的收入差距分解发现，1988年、1995年和2002年，行业间收入不平等对中国城镇居民收入差距的贡献越来越大，而且这主要是由一些收入迅速提高的垄断行业造成的。同时，区位、教育、所有制和职业类型以及是否有第二职业对收入差距的贡献也在提高，是否完全就业和年龄对收入差距的贡献明显下降。因此，缩小中国城镇收入差距，亟需打破劳动力市场进入壁垒和产品市场行业垄断。此外，减轻地区间的劳动力流动障碍、...
Penalty Decomposition Methods for Rank Minimization
rank minimization penalty decomposition methods matrix completion
2010/10/21
In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved a...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Income Inequality in the People’s Republic of China and Its Decomposition: 1990–2004
Income Inequality Decomposition
2009/9/1
This paper estimates income inequality in the People’s Republic of China at
the national, regional, and provincial levels using extrapolated unit-level
household income data covering urban and rural...
Modified detrended fluctuation analysis based on empirical mode decomposition
Modified detrended empirical mode decomposition
2010/11/1
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating
the power-law long-term correlations of non-stationary time series, in which a detrending step is necessar...
Productivity and its Decomposition in the Japanese Broadcasting Market
total factor productivity scale economies broadcasting
2009/5/7
The purpose of this paper is to calculate the total factor productivity (TFP) as well as scale economies of Japanese terrestrial broadcasters and examine the industry’s characteristics through the de...
Local Risk Decomposition for High-frequency Trading Systems
Financial Markets Risk Multi-scale Systems Complex Systems
2010/11/1
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...
中山大学中级微观经济学课件：5. Slutsky decomposition and Hicks decomposition
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
主讲人
Anthony Shorrocks 教授
World Institute for Development Economics Research (WIDER)
题目
Inequality and Poverty Analysis Using the Shapley Decomposition: Theory and Applications
时间
2005年4月21日（星期四）下午3:30...
Productivity and its Decomposition in the Japanese Broadcasting Market
total factor productivity scale economies broadcasting
2010/12/7
The purpose of this paper is to calculate the total factor productivity (TFP) as well as scale economies of Japanese terrestrial broadcasters and examine the industry’s characteristics through the dec...