Overthrow
发表于 2025-3-26 21:19:00
Selecting Relative-Value Stocks with Non Linear Cointegrationtributed to the fact that market imperfections such as trading costs are not incorporated within the cointegration relationship and the forecasting model. We are introducing some preliminary ideas on the problem of incorporating market imperfections in the modeling process and the need for tests and
外形
发表于 2025-3-27 04:49:00
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加强防卫
发表于 2025-3-27 06:35:27
https://doi.org/10.1007/978-3-319-57363-2ities of financial asset returns, and hence holds promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated
禁止,切断
发表于 2025-3-27 12:53:29
Terufumi Fujiwara,Eugenia Chiappey forecast exercise, it is convenient to first verify the sequential significance of the relationship, and then its stability. This paper studies recursive and rolling estimators, and related sequential tests to test for significant and constant coefficients. If constancy is rejected, the estimation
infarct
发表于 2025-3-27 15:06:16
https://doi.org/10.1007/978-1-349-22381-7iable discount rates and expected returns, this paper uses Hansen-Jagannathan bounds to estimate valid stochastic discount factors under certain conditions. Thus we differentiate stochastic discount factors estimated on individual asset returns and stochastic discount factors using portfolio returns
glans-penis
发表于 2025-3-27 21:43:07
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变量
发表于 2025-3-28 01:51:40
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可转变
发表于 2025-3-28 05:26:06
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Expediency
发表于 2025-3-28 07:00:31
https://doi.org/10.1057/978-1-349-93358-7ic transformations such that the normalized series can asymptotically be represented by independent Brownian motions. Rank test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverg
vector
发表于 2025-3-28 11:27:24
https://doi.org/10.1057/978-1-349-93358-7ll often reject the null of cointegration in the presence of nonlinear cointegration. Unlike previous work on nonlinear cointegration (e.g. Granger and Teräsvirta, 1993; Granger, 1995; Granger, Inoue, and Morin, 1997; Swanson, Corradi, and White, 1997), the test is based on ranks. For a time series