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LT-TVP-VAR模型OX程序
8 个回复 - 3233 次查看 TVP-VAR模型已经烂大街了，是个人都在用这个方法做实证，想发出来论文的难度可想而知，而Latent threshold time-varying VAR models （LT-TVP-VAR）模型在国内做实证分析并发表出来的论文寥寥无几，想发核心期刊的欲 ...2020-6-2 21:57 - 小树林儿 - 现金交易版

求jstor文献Time Varying Structural Vector Autoregressions and Monetary Policy
1 个回复 - 259 次查看【作者(必填)】Giorgio E. Primiceri 【文题(必填)】Time Varying Structural Vector Autoregressions and Monetary Policy 【年份(必填)】2005 【全文链接或数据库名称(选填)】Time Varying Structural Ve ...2024-5-11 16:41 - mgymgy - 文献求助专区

求jstor文献Time Varying Structural Vector Autoregressions and ...: A Corrigendum
1 个回复 - 260 次查看【作者(必填)】MARCO DEL NEGRO and GIORGIO E. PRIMICERI 【文题(必填)】Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum 【年份(必填)】2015 【全文链接或数据库名称 ...2024-5-11 16:45 - mgymgy - 文献求助专区

Time-varying joint distribution through copulas
1 个回复 - 128 次查看【作者(必填)】 232 【文题(必填)】 Time-varying joint distribution through copulas【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pii/S01679473090 ...2024-1-21 08:58 - internet.hzx - 求助成功区

A penalized two-pass regression to predict stock returns with time-varying risk
1 个回复 - 134 次查看【作者(必填)】 333 【文题(必填)】 A penalized two-pass regression to predict stock returns with time-varying risk premia【年份(必填)】 444 【全文链接或数据库名称(选填)】https://www.sciencedirect. ...2024-1-1 20:34 - internet.hzx - 求助成功区

Time-varying forecast combination for high-dimensional dat
1 个回复 - 138 次查看【作者(必填)】 55 【文题(必填)】 Time-varying forecast combination for high-dimensional dat【年份(必填)】 44 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pii/S0 ...2024-1-1 20:36 - internet.hzx - 求助成功区

Score-driven asset pricing: Predicting time-varying risk premia based on cross-s
1 个回复 - 102 次查看【作者(必填)】 66 【文题(必填)】 Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance【年份(必填)】 44 【全文链接或数据库名称(选填)】https:// ...2024-1-1 20:37 - internet.hzx - 求助成功区

A penalized two-pass regression to predict stock returns with time-varying risk
1 个回复 - 120 次查看【作者(必填)】 242 【文题(必填)】 A penalized two-pass regression to predict stock returns with time-varying risk premia【年份(必填)】 434 【全文链接或数据库名称(选填)】https://www.sciencedirect. ...2024-1-1 20:45 - internet.hzx - 求助成功区

Score-driven asset pricing: Predicting time-varying risk premia based on cross-s
1 个回复 - 126 次查看【作者(必填)】 33 【文题(必填)】 Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance【年份(必填)】 333 【全文链接或数据库名称(选填)】https:/ ...2024-1-1 20:48 - internet.hzx - 求助成功区

A time-varying parameter model for local explosions
1 个回复 - 135 次查看【作者(必填)】 2342 【文题(必填)】 A time-varying parameter model for local explosions【年份(必填)】 24234 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pii/S030 ...2024-1-1 20:54 - internet.hzx - 求助成功区

Modeling Time-Varying Random Objects and Dynamic Networks
1 个回复 - 160 次查看【作者(必填)】 333 【文题(必填)】 Modeling Time-Varying Random Objects and Dynamic Networks 【年份(必填)】 33 【全文链接或数据库名称(选填)】https://amstat.tandfonline.com/doi/full/10.1080/016214 ...2023-11-12 10:36 - internet.hzx - 求助成功区

FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN A
1 个回复 - 279 次查看【作者(必填)】 22 【文题(必填)】 FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK【年份(必填)】 22 【全文链接或数据库 ...2023-8-25 01:11 - internet.hzx - 求助成功区

Density Forecasting with Time-Varying Higher Moments: A Model Confidence Set App
1 个回复 - 253 次查看【作者(必填)】 66 【文题(必填)】Density Forecasting with Time-Varying Higher Moments: A Model Confidence Set Approach 【年份(必填)】 88 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.c ...2023-8-25 01:14 - internet.hzx - 求助成功区

Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
15 个回复 - 864 次查看【作者(必填)】Jiti Gao 【文题(必填)】Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models 【年份(必填)】2023 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi ...2023-8-21 07:42 - 317792209 - 求助成功区

Time-varying dynamic conditional correlation between stock and cryptocurrency ma
1 个回复 - 301 次查看【作者(必填)】 333 【文题(必填)】 Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model【年份(必填)】 333 【全文链接或数据库名称 ...2023-8-20 14:17 - internet.hzx - 求助成功区

Modeling time-varying higher-order conditional moments: A survey
1 个回复 - 264 次查看【作者(必填)】 2 【文题(必填)】 Modeling time-varying higher-order conditional moments: A survey【年份(必填)】 2 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/abs/10.1111/joes ...2023-7-17 00:19 - internet.hzx - 求助成功区

TVP－VAR (Time-varying parameter VAR时变参数向量自回归) 模型实证实现手稿
67 个回复 - 48515 次查看俺学习了TVP-VAR，并仿照编写了code，然后跑出了结果，喜悦之余，就粘贴上来，自娱的同时，也和坛子里的各位朋友分享。 1 IntroductionTVP-VAR(Time-VaryingParameter Vector AutoRegression) is the pack ...2013-11-4 09:41 - gssdzc - MATLAB等数学软件专版

Testing for time-varying Granger causality
2 个回复 - 411 次查看【作者(必填)】 Christopher F. Baum[/backcolor] https://orcid.org/0000-0003-4766-3699[/backcolor], Stan Hurn[/backcolor] https://orcid.org/0000-0002-6134-7943[/backcolor], and Jesús Otero[/backcolor] ...2022-12-30 23:03 - tiesuoqiao - 求助成功区

Time-varying cross-correlation between trading volume and returns in US stock ma
1 个回复 - 358 次查看【作者(必填)】 7777 【文题(必填)】 Time-varying cross-correlation between trading volume and returns in US stock markets【年份(必填)】 666 【全文链接或数据库名称(选填)】https://www.sciencedirect. ...2022-12-17 23:24 - internet.hzx - 求助成功区

Time-varying cross-correlation between trading volume and returns in US stock ma
1 个回复 - 350 次查看【作者(必填)】 23 【文题(必填)】 Time-varying cross-correlation between trading volume and returns in US stock markets 【年份(必填)】 23 【全文链接或数据库名称(选填)】 https://www.sciencedirect ...2022-12-14 14:05 - internet.hzx - 求助成功区

Assessing Time-Varying Causal Effect Moderation in the Presence of Cluster-Level
1 个回复 - 345 次查看【作者(必填)】 2323 【文题(必填)】 Assessing Time-Varying Causal Effect Moderation in the Presence of Cluster-Level Treatment Effect Heterogeneity and Interference 【年份(必填)】 232 【全文链接或 ...2022-11-27 22:44 - internet.hzx - 求助成功区

Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecas
1 个回复 - 400 次查看【作者(必填)】Yannick Hoga 【文题(必填)】Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting 【年份(必填)】2022 【全文链接或数据库名称(选填)】https://academic ...2022-10-30 15:56 - hnhs100 - 求助成功区

Time-varying dependence dynamics between international commodity prices and Aust
1 个回复 - 603 次查看【作者(必填)】Aviral KumarTiwari, Emmanuel Joel AikinsAbakah, Nana KwasiKarikari, ShawkatHammoudeh 【文题(必填)】Time-varying dependence dynamics between international commodity prices and Australian ...2022-3-10 08:25 - Terry950901 - 求助成功区

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hed
3 个回复 - 1151 次查看【作者(必填)】 23 【文题(必填)】 Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures【年份(必填)】 23 【全文链接或数据库名称(选填)】https:// ...2021-3-17 22:51 - internet.hzx - 求助成功区

The Effect of Dependence on European Market Risk. A Nonparametric Time Varying A
1 个回复 - 780 次查看【作者(必填)】 23 【文题(必填)】 The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://amstat.tandfonlin ...2022-3-2 11:35 - internet.hzx - 求助成功区

Cox 回归如何达到time-varying term 的CI？
1 个回复 - 511 次查看生存时间的cutoff天数是2000天，如何得出time-varying interaction term 的CI？在网上查了要用hazardratio command 但是出来的interaction 的HR怎么不对以下是code： proc surveyphreg data=final; class smok ...2022-1-23 11:33 - miffy126 - SAS专版

如何用STATA做Time-varying term
0 个回复 - 505 次查看数据是调查问卷 Cox 得用SVY 但是TVC不能用啊求大佬们指点谢谢2021-12-11 08:12 - miffy126 - Stata专版

The Effect of Dependence on European Market Risk. A Nonparametric Time Varying A
6 个回复 - 810 次查看【作者(必填)】 23 【文题(必填)】 The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach 【年份(必填)】 23 【全文链接或数据库名称(选填)】 https://amstat.tandfonl ...2021-6-2 21:40 - internet.hzx - 求助成功区

Hedge Fund Strategies and Time-Varying Alphas and Betas
2 个回复 - 1119 次查看【作者(必填)】Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth, and Sjur Westgaard 【文题(必填)】Hedge Fund Strategies and Time-Varying Alphas and Betas 【年份(必填)】Vol. 19, No. ...2017-2-3 05:42 - lopemann - 求助成功区

Time-varying cointegration and the Kalman filter
1 个回复 - 605 次查看【作者(必填)】 2323 【文题(必填)】 Time-varying cointegration and the Kalman filter 【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/full/10.1080/07474938.2020.1 ...2021-6-18 19:04 - internet.hzx - 求助成功区

Stochastic Model Specification Search for Time-Varying Parameter VARs
1 个回复 - 415 次查看【作者(必填)】 23 【文题(必填)】 Stochastic Model Specification Search for Time-Varying Parameter VARs[/backcolor] 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi ...2021-6-17 02:54 - internet.hzx - 求助成功区

Testing explosive bubbles with time-varying volatility
1 个回复 - 368 次查看【作者(必填)】 23 【文题(必填)】 Testing explosive bubbles with time-varying volatility 【年份(必填)】 232 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/full/10.1080/07474938.201 ...2021-6-17 03:24 - internet.hzx - 求助成功区

Time-varying dynamics of expected shortfall in commodity futures markets
1 个回复 - 628 次查看【作者(必填)】 23 【文题(必填)】 Time-varying dynamics of expected shortfall in commodity futures markets【年份(必填)】 323 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/abs/1 ...2021-6-13 23:09 - internet.hzx - 求助成功区

Modeling asset returns under time-varying semi-nonparametric distributions
1 个回复 - 522 次查看【作者(必填)】 23 【文题(必填)】 Modeling asset returns under time-varying semi-nonparametric distributions【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/ar ...2021-6-13 17:28 - internet.hzx - 求助成功区

Risk Estimation with a Time-Varying Probability of Zero Returns
1 个回复 - 563 次查看【作者(必填)】 23 【文题(必填)】 Risk Estimation with a Time-Varying Probability of Zero Returns【年份(必填)】 232 【全文链接或数据库名称(选填)】https://academic.oup.com/jfec/advance-article-abst ...2021-6-13 11:06 - internet.hzx - 文献求助专区

flexpaneldid - A Stata Command for Causal Analysis with Varying Treatment Time a
4 个回复 - 701 次查看【作者(必填)】 Eva DettmannAlexander GieblerAntje Weyh 【文题(必填)】 flexpaneldid - A Stata Command for Causal Analysis with Varying Treatment Time and Duration 【年份(必填)】 2019 【全文链接或 ...2021-5-28 20:16 - chenqiuyaopk - 求助成功区

The time-varying linkages between global oil market and China's
1 个回复 - 370 次查看【作者(必填)】 23 【文题(必填)】 The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses【年份(必填)】 23 【全文链接或数据库名称(选 ...2021-2-26 09:27 - internet.hzx - 求助成功区

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hed
1 个回复 - 501 次查看【作者(必填)】 23 【文题(必填)】 Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures【年份(必填)】 23 【全文链接或数据库名称(选填)】https:// ...2021-2-24 13:10 - internet.hzx - 求助成功区

Return attribution of actively managed or time-varying portfolios
3 个回复 - 743 次查看【作者(必填)】BO Arnarson, S Karason, HO Haraldsson 【文题(必填)】 Return attribution of actively managed or time-varying portfolios【年份(必填)】 2003, 【全文链接或数据库名称(选填)】2017-12-8 15:49 - ssylzz - 求助成功区

Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
1 个回复 - 501 次查看【作者(必填)】 Author links open overlay panelDeguiLi[/backcolor] 【文题(必填)】 Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression【年份(必填)】 2019 【全文链接或数据库名 ...2019-12-8 23:19 - internet.hzx - 求助成功区

Time-varying quantile association regression model with applications to financia
2 个回复 - 633 次查看【作者(必填)】 23 【文题(必填)】 Time-varying quantile association regression model with applications to financial contagion and VaR【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.s ...2019-11-30 18:27 - internet.hzx - 求助成功区

Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation b
1 个回复 - 355 次查看【作者(必填)】 23 【文题(必填)】 Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns【年份(必填)】 23 【全文链接或数据库名称(选填)】 ht ...2019-11-29 16:59 - internet.hzx - 求助成功区

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
2 个回复 - 1257 次查看【作者(必填)】 Patton 【文题(必填)】 Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads【年份(必填)】 2018 【全文链接或数据库名称(选填)】https://www.tandfonline.com/d ...2018-7-30 21:39 - internet.hzx - 求助成功区

Time-varying quantile association regression model with applications to financia
2 个回复 - 515 次查看【作者(必填)】 23 【文题(必填)】 Time-varying quantile association regression model with applications to financial contagion and VaR【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sci ...2019-5-29 00:29 - internet.hzx - 求助成功区

Portfolio value-at-risk estimation in energy futures markets with time-varying c
2 个回复 - 402 次查看【作者(必填)】 23 【文题(必填)】 Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model【年份(必填)】 23 【全文链接或数据库名称(选填)】https://link.spri ...2019-5-8 19:14 - internet.hzx - 求助成功区

THE TIME-VARYING CAUSAL RELATIONSHIP BETWEEN INTERNATIONAL CAPITAL FLOWS AND THE
5 个回复 - 641 次查看【作者(必填)】YANPING ZHAO, XIAOYAN LI and JAKOB dE HAAN 【文题(必填)】THE TIME-VARYING CAUSAL RELATIONSHIP BETWEEN INTERNATIONAL CAPITAL FLOWS AND THE REAL EFFECTIVE EXCHANGE RATE: NEW EVIDENCE FO ...2019-3-26 15:35 - qupipizyp - 求助成功区

Value at Risk with time varying variance, skewness and kurtosis
1 个回复 - 560 次查看【作者(必填)】Anders Wilhelmsson 【文题(必填)】Value at Risk with time varying variance, skewness and kurtosis—the NIG‐ACD model 【年份(必填)】2009 【全文链接或数据库名称(选填)】https://onlin ...2019-4-19 21:06 - hnhs100 - 求助成功区

The poles and zeros of a linear time-varying system
4 个回复 - 1034 次查看【作者(必填)】【文题(必填)】The poles and zeros of a linear time-varying system 【年份(必填)】【全文链接或数据库名称(选填)】http://www.sciencedirect.com/science/article/pii/00243795889016812011-12-29 16:37 - chaoyang712 - 求助成功区

文献求助+Peaker Outsourcing for Service Systems with Time-Varying Arrival Rates
2 个回复 - 949 次查看【作者(必填)】 Bondareva, M.; Seidmann, A. 【文题(必填)】Peaker Outsourcing for Service Systems with Time-Varying Arrival Rates 【年份(必填)】2012 【全文链接或数据库名称(选填)】2012 45th ...2013-5-21 15:15 - wwltm - 求助成功区

悬赏Time-Varying Risk Premiums and Term Premiums in Commodity Futures
1 个回复 - 524 次查看【作者(必填)】 Denis B. Chaves 【文题(必填)】 Time-Varying Risk Premiums and Term Premiums in Commodity Futures 【年份(必填)】2017 【全文链接或数据库名称(选填)】https://jai.iijournals.com/con ...2019-1-29 16:19 - pengerge - 求助成功区

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Applica
5 个回复 - 573 次查看【作者(必填)】 Joshua C. C. Chan[/backcolor] 【文题(必填)】 The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling【年份(必填)】 2017 【全文链接 ...2017-6-15 09:48 - internet.hzx - 求助成功区

Industry Rotation and Time-Varying Sensitivity by VIX
1 个回复 - 877 次查看【作者(必填)】Maggie Copeland, Michael Copeland and Thomas Copeland 【文题(必填)】Industry Rotation and Time-Varying Sensitivity by VIX 【年份(必填)】2018 【全文链接或数据库名称(选填)】http:/ ...2018-10-21 18:28 - 迷途mitu - 求助成功区

Co-movements among major European exchange rates: A multivariate time-varying as
1 个回复 - 491 次查看【作者(必填)】 33 【文题(必填)】 Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach【年份(必填)】 33 【全文链接或数据库名称(选填)】https://www.scien ...2018-8-22 19:59 - internet.hzx - 求助成功区

Determinants of time varying co-movements among international stock markets duri
1 个回复 - 479 次查看【作者(必填)】 AsmaMobareka[/backcolor]GulnurMuradoglu[/backcolor] 【文题(必填)】 Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods【年 ...2018-8-22 19:49 - internet.hzx - 求助成功区

A new time-varying optimal copula model identifying the dependence across market
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Trends, unit roots, structural changes, and time-varying asymmetries
1 个回复 - 465 次查看【作者(必填)】Sandberg, Rickard 【文题(必填)】Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined 【年份(必填)】 ...2018-6-16 16:40 - hkswen - 求助成功区

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A new time-varying optimal copula model identifying the dependence across market
1 个回复 - 638 次查看【作者(必填)】 d 【文题(必填)】 A new time-varying optimal copula model identifying the dependence across markets【年份(必填)】 2016 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/ ...2018-4-4 03:06 - internet.hzx - 求助成功区

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1 个回复 - 435 次查看【作者(必填)】Matthew Harding and Steven Sexton 【文题(必填)】Household Response to Time-Varying Electricity Prices 【年份(必填)】2017 【全文链接或数据库名称(选填)】http://www.annualreviews.o ...2018-1-19 14:20 - xyang173 - 求助成功区

A finite-time recurrent neural network for solving online time-varying Sylv..
0 个回复 - 458 次查看摘要：A finite-time recurrent neural network for solving online time-varying Sylvester matrix equation based on a new evolution formula Springer NetherlandsNonlinear Dynamicsdoi:10.1007/s11071-017-375 ...2017-12-31 13:30 - DL-er - 人工智能论文版

Consumption Adjustment under Time-Varying Income Uncertainty
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Interpretation on Interactions with Time-varying Predictors
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[讨论]Multilevel Model with Time-Varying Predictor using Stata?
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Shocks versus Responsiveness: What Drives Time-Varying Dispersion
1 个回复 - 404 次查看【作者(必填)】David Berger Northwestern University and National Bureau of Economic Research Joseph Vavra University of Chicago and National Bureau of Economic Research 【文题(必填)】Shocks ver ...2019-11-25 16:51 - wuyu0405 - 求助成功区

求助Measuring and forecasting time varying liquitry电子版一份
2 个回复 - 528 次查看【作者(必填)】 Engel R, Lange J 【文题(必填)】 Measuring and forecasting time varying liquitry 【年份(必填)】1997 [hr]【全文链接或数据库名称(选填)】2017-9-29 23:37 - 徒步在原野 - 求助成功区

Analysis and Identification of Time-Invariant Systems, Time-Varying Systems, and
10 个回复 - 1155 次查看 2016 | ISBN-10: 3319266829 | 426 pages | PDF | 9 MB This book introduces a new set of orthogonal hybrid functions (HF) which approximates time functions in a piecewise linear manner which is ...2017-11-12 23:25 - igs816 - MATLAB等数学软件专版

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
10 个回复 - 972 次查看【作者(必填)】Oh and Patton 【文题(必填)】Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 【年份(必填)】2016 【全文链接或数据库名称(选填)】JBES正式版2017-11-6 20:35 - byliu - 求助成功区

Time series analysis of long memory versus structural breaks: a time-varying mem
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Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal E
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A new time-varying optimal copula model identifying the dependence across market
1 个回复 - 443 次查看【作者(必填)】 BY Liu, Q Ji, Y Fan 【文题(必填)】 A new time-varying optimal copula model identifying the dependence across markets【年份(必填)】 2017 【全文链接或数据库名称(选填)】http://www.tan ...2017-8-25 09:10 - internet.hzx - 求助成功区

Time-varying systemic risk: Evidence from a dynamic copula model of cds spreads
1 个回复 - 455 次查看【作者(必填)】 Patton 【文题(必填)】 Time-varying systemic risk: Evidence from a dynamic copula model of cds spreads【年份(必填)】 2017 【全文链接或数据库名称(选填)】http://www.tandfonline.com/do ...2017-8-25 09:06 - internet.hzx - 求助成功区

Time-Varying Effect Modeling to Address New Questions in Behavioral Researc
2 个回复 - 620 次查看【作者(必填)】 Stephanie T Lanza 【文题(必填)】 Time-Varying Effect Modeling to Address New Questions in Behavioral Research: Examples in Marijuana Use【年份(必填)】 2016 【全文链接或数据库名称( ...2017-8-7 16:21 - yuanhaixia - 求助成功区

Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value
1 个回复 - 398 次查看【作者(必填)】 Zayneb Attaf1,, [/backcolor]Ahmed Ghorbel1, [/backcolor]Younes Boujelbène1 【文题(必填)】 Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Met ...2017-8-2 09:23 - internet.hzx - 求助成功区

Using big data to model time-varying effects for market resource (re)allocation
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Time-varying higher-order conditional moments and forecasting intraday VaR and E
1 个回复 - 629 次查看【作者(必填)】 A. TolgaErgünOpens the author workspaceOpens the author workspace. Author links open the author workspace.JongbyungJun 【文题(必填)】 Time-varying higher-order conditional moments a ...2017-7-9 11:40 - internet.hzx - 求助成功区

A new time-varying optimal copula model identifying the dependence across market
1 个回复 - 1506 次查看《A new time-varying optimal copula model identifying the dependence across markets》此片论文发表在2017年Quantitative Finance上。作者采用一种时变最佳Copula模型（time-varying optimal copula model） ...2017-6-7 07:02 - DuShu16 - 金融学（理论版）

The exchange rate and macroeconomic determinants: Time-varying transitional dyna
2 个回复 - 710 次查看【作者(必填)】Chunming Yuan 【文题(必填)】The exchange rate and macroeconomic determinants: Time-varying transitional dynamics 【年份(必填)】2011 【全文链接或数据库名称(选填)】 http://www.sc ...2014-4-1 19:37 - hyq2003 - 求助成功区

Gold prices and exchange rates: a time-varying copula analysis
1 个回复 - 500 次查看【作者(必填)】Lu Yang[/backcolor] & Shigeyuki Hamori[/backcolor] 【文题(必填)】 Gold prices and exchange rates: a time-varying copula analysis【年份(必填)】 2013 【全文链接或数据库名称(选填)】ht ...2017-5-1 11:30 - internet.hzx - 求助成功区

Time-Varying Transition Probabilities for Markov Regime Switching Models
1 个回复 - 1035 次查看【作者(必填)】Marco Bazzi1, Francisco Blasques2, Siem Jan Koopman2,3,* andAndre Lucas2 【文题(必填)】Time-Varying Transition Probabilities for Markov Regime Switching Models 【年份(必填)】2016 ...2017-4-28 09:25 - hnhs100 - 求助成功区

请教time varying beta，谢谢
2 个回复 - 952 次查看请问使用 conditional capm估价时，可否通过不同的时间序列模型来计算time varying beta? 比如使用不同GARCH 模型分别估算index和个股portfolio的var,或者一个使用GARCH family另一个使用kalman filter？谢谢2017-4-19 08:48 - habitat - 量化投资

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