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R 代码: 基于TVP-VAR的时变溢出指数计算(TVP-VAR-DY)
21 个回复 - 13854 次查看
the R code of TVP-VAR-DY model
The package (R code) includes the following models:
1. Antonakakis et al.(2020) 's code : TVP-VAR-DY
2. Diebold and Yilmaz (2009) 's code
...
2020-8-27 09:20 - 1012124855 - 现金交易版
GARCH-copula-CoVaR估计
2 个回复 - 3212 次查看
可参考Juan C. Reboredo, & Andrea Ugolini. (2014). Systemic risk in european sovereign debt markets: a covar-copula approach. Journal of International Money & Finance, 51, 214-244. 查看模型原理
代码估 ...
2020-1-5 21:32 - 槛间人 - 经管代码库
STATA面板VAR程序代码、var命令、pvar命令
3 个回复 - 3335 次查看
STATA面板VAR程序代码、var命令、pvar命令
STATA面板VAR程序代码、var命令、pvar命令
STATA面板VAR程序代码、var命令、pvar命令
STATA面板VAR程序代码、var命令、pvar命令
STATA面板VAR程序代码、var命令、p ...
2020-4-18 14:59 - Lotus_ss - 现金交易版
Adversarial Machine Learning (True PDF/2018)
6 个回复 - 2448 次查看
English | 2018 | ISBN: 1681733975 | 169 Pages | True PDF | 10 MB
Synthesis Lectures on Artificial Intelligence and Machine Learning
The increasing abundance of large high-quality datasets, combined ...
2018-9-7 09:15 - 网吧流浪者 - Forum
Adversarial Machine Learning
4 个回复 - 1114 次查看
【作者(必填)】
【文题(必填)】Adversarial Machine Learning
【年份(必填)】2019
【全文链接或数据库名称(选填)】https://www.cambridge.org/core/books/adversarial-machine-learning/C42A9D49CBC626DF7B ...
2019-3-16 08:25 - nivastuli - 求助成功区
VAR-BEKK-GARCH模型波动溢出效应
10 个回复 - 6081 次查看
VAR-BEKK-GARCH模型研究金融市场间的波动溢出,在研究时,往往对金融市场的价格序列进行对数收益率处理,我在做橡胶期现货市场的波动溢出效应时,发现原价格序列就是平稳的,那么是不是没有必要做对数收益率处理了。 ...
2019-7-12 16:26 - 弘小基 - EViews专版
GARCH,ARCH,GARCH-M,IGARCH,TARCH,EGARCH,PARCH,CGARCH模型介绍
2 个回复 - 2353 次查看
GARCH,ARCH,GARCH-M,IGARCH,TARCH,EGARCH,PARCH,CGARCH模型介绍学习视频
1-ARCH、GARCH模型.mp4
2-GARCH-M、IGARCH、TARCH模型.mp4
3-EGARCH、PARCH模型.mp4
4-CGARCH模型、选项介绍.mp4
2020-6-10 14:27 - Tiger-like - 现金交易版
var for var 程序代码 及 原参考文献
1 个回复 - 904 次查看
本文提出了用于多变量,多分位数模型的估计和推断方法。该理论可以同时容纳具有多个随机变量,多个置信度和相关分位数的多个滞后的模型。所提出的框架可以方便地视为对分位数模型的向量自回归(VAR)扩展。我们使用市 ...
2021-3-11 16:48 - 袁学龙 - 现金交易版
VAR-BEKK-GARCH的winrats代码及结果
23 个回复 - 11957 次查看
基于自回归的bekk-garch比较复杂,eviews做不了,winrats比较容易。最近在做这个,把代码放上来吧,其实也很短。我是8阶滞后的var,garch(1,1)。vec-bekk-garch同理。
Code:
system(model=var11)
variables l ...
2019-4-25 14:03 - 明淮远 - MATLAB等数学软件专版
MVAR-CVAR(Marginal VaR, Component VaR)
1 个回复 - 1513 次查看
MVAR-CVAR(Marginal VaR, Component VaR)
MVAR-CVAR(Marginal VaR, Component VaR)
MVAR-CVAR(Marginal VaR, Component VaR)
MVAR-CVAR(Marginal VaR, Component VaR)
MVAR-CVAR(Marginal VaR, Component V ...
2020-7-23 14:28 - lotus_sss - 现金交易版
arima GARCH, arima_GARCH, arima_GARCH.R,程度命令源代码
2 个回复 - 1045 次查看
arima GARCH, arima_GARCH, arima_GARCH.R,程度命令源代码
arima GARCH, arima_GARCH, arima_GARCH.R,程度命令源代码
arima GARCH, arima_GARCH, arima_GARCH.R,程度命令源代码
arima GARCH, arima_GARCH, arima_ ...
2020-7-15 10:59 - lotus_sss - 现金交易版
Partially Observed Markov Decision Processes
4 个回复 - 1773 次查看
Covering formulation, algorithms, and structural results, and linking theory to real-world applications in controlled sensing (including social learning, adaptive radars and sequential detection), thi ...
2018-7-27 14:43 - nivastuli - 博弈论
Nonparametric estimation: parametric view
3 个回复 - 1532 次查看
Part I Model selection for linear methods
1 Quasi maximum likelihood estimation in linear models . . . . . . . . . . . . . . 17
2 Linear regression with random design . . . . . . . . . . . . . ...
2018-9-30 02:19 - leosong - 经济金融数学专区
Linear and Nonlinear Optimization
2 个回复 - 1437 次查看
This textbook on Linear and Nonlinear Optimization is intended for graduate and advanced undergraduate students in operations research and related fields. It is both literate and mathematically ...
2017-6-11 17:38 - nivastuli - 微观经济学
精通PyCharm (Mastering PyCharm) pdf
11 个回复 - 5613 次查看
PyCharm is addictive, with powerful and configurable code completion, superb editing tools, top-notch support, diverse plugins, and a vibrant ecosystem to boot. Learning how PyCharm works and maximisi ...
2018-8-29 17:41 - 浅光出岫 - python论坛