[推荐]诺奖获得者Robert F. Engle论文N篇

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Robert F. Engle

[2003]    罗伯特·恩格尔(Robert F. Engle)和克莱夫·格兰杰(Briton Clive WJ Granger)
          发明了处理许多经济时间序列两个关键特性的统计方法：时间变化的变更率和非平稳性。

本文含一下论从：

Bayesian Analysis of Stochastic Volatility Models
A Capital Asset Pricing Model with Time-Varying Covariances
Band Spectrum Regression
Co-Integration and Error Correction-Representation, Estimation, and Testing
Common Volatility in International Equity Markets
Estimates of the Variance of U. S. Inflation Based upon the ARCH Model
Estimating Time Varying Risk Premia in the Term Structure-The Arch-M Model
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
Multivariate Simultaneous Generalized Arch
Semiparametric ARCH Models
Small-Sample Properties of ARCH Estimators and Tests
Specification of the Disturbance for Efficient Estimation
Statistical Models for Financial Volatility
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
Testing Price Equations for Stability Across Spectral Frequency Bands
The Econometrics of Ultra-High-Frequency Data

264576.rar (7.65 MB, 需要: 1 个论坛币) 本附件包括：

• The Econometrics of Ultra-High-Frequency Data.pdf
• [Bayesian Analysis of Stochastic Volatility Models.pdf
• A Capital Asset Pricing Model with Time-Varying Covariances.pdf
• Band Spectrum Regression.pdf
• Co-Integration and Error Correction-Representation, Estimation, and Testing.pdf
• Common Volatility in International Equity Markets.pdf
• Estimates of the Variance of U. S. Inflation Based upon the ARCH Model.pdf
• Estimating Time Varying Risk Premia in the Term Structure-The Arch-M Model.pdf
• Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions.pdf
• Multivariate Simultaneous Generalized Arch.pdf
• Semiparametric ARCH Models.pdf
• Small-Sample Properties of ARCH Estimators and Tests.pdf
• Specification of the Disturbance for Efficient Estimation.pdf
• Statistical Models for Financial Volatility.pdf
• Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative.pdf
• Testing Price Equations for Stability Across Spectral Frequency Bands.pdf

2008-11-7 17:38:00 上传

[推荐]诺奖获得者Robert F. Engle论文N篇
需要: 1 个论坛币  [购买]

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