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In this thesis, we theoretically analyze the fundamental reasons of profitability of technical analysis, stating the time-varying characteristic of expected return series and predictability from historical returns and other factors.
本文从理论角度分析了技术分析有效性的基础,从历史收益率等角度出发阐述了收益率的时变性特征,结合收益率波动的记忆效应,为技术分析的核心前提假设即价格趋势的存在提供了国内外研究的实证支持。
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Bond markets continued to gyrate Thursday after a sharp run-up in 10-year Treasury yields the day before. The bond market pushed yields of 10-year Treasurys down to 3.674% from 3.70% Wednesday, but they remain well over mid-March's 2.5% level.
继美国国债收益率周三大幅上扬后,债券市场的收益率周四仍在高位徘徊。10年期美国国债的收益率从周三的3.70%下跌至周四的3.674%,但仍远高于3月中旬时2.5%的水平。
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In Chapter 3, we obtain the Equilibrium Principle of the Rate Return in Financial Market, that is, the weighted sum of instant rate of return of nodes in the network is a constant.
本文第六章研究了出现突发事件时的收益率—流通量方程,证明了不同时间段的网络平均收益率也不相同,并且随脉冲条件的变化而变化,同时给出了相邻两个时间段网络平均收益率之间的关系。
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There are totally five chapters in the paper. Chapter 1 is the introduc-tion,and extreme value theory and methods and modelling for returns fat tails are introduced systematically in Chapter 2.This chapter also presents mean excess function and de Haan's moment estimate to decide on the reasonable exceedance threshold. Chapter 3 describes in detail non-linear time series mod-els such as GARCH models and the corresponding statistical inferences,and it also gives modelling and statistical analysis methods for returns series. Chap-ter 4 uses the models in Chapter 2 to analyzes the daily returns for Shanghai complex index and Shenzhen complex index in the Shanghai and Shenzhen stock markets. Chapter 5 applies the models in Chapter 3 to the volatility analysis of the two stock indices returns.
论文总共五章:第一章是引言部分;第二章系统介绍了极值理论方法和收益率厚尾的建模方法,给出了平均剩余函数法和de Haan矩估计相结合的方法确定合理的超越门限;第三章详细论述了非线性时间序列模型GARCH类模型及其统计推断,并且给出了收益率时间序列波动的建模和统计分析方法;第四章利用第二章的模型对国内沪深两市大盘指数上证综指和深证综指日收益率数据分布的厚尾进行了实证分析;第五章将第三章的模型应用到两个股指日收益率时间序列的波动分析。
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They use R/S analytic method to check up earnings yields, and find that both of earnings yields have long memory characteristic. It also performs short memory characteristic along with changes of sample"s initial time and interzone of time series. The average circular period of Shanghai"s stock market is 250 days, and Shenzhens is 400 days.
采用了R/S分析法对收益率进行检验,实验结果表明上证综指收益率和深证成指收益率都有长记忆特征,但随着样本初始时间和样本区间大小的不断改变,股市收益率在表现出长记忆性特征的同时,也表现出了短记忆性的特征;上证综指的平均循环周期为250天,深证成指的平均循环周期为400天。
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Using a variety of statistical methods tested what rate of assets return are not subject to the normal distribution assumption, but leptokurtic distribution, and week data is closer to the normal distribution than daily data.
采用多种统计方法检验了资产收益率并不服从正态分布假设,而是尖峰厚尾分布,且周收益率要比日收益率更接近正态分布。
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We use MorningStar style to classify a method tectonic to field of Chinese A stock market style invests combination, and with respect to Shanghai deep the yield feature that two city inspected each style to invest combination respectively, discovery is on Chinese market, value yield prep above grows the phenomenon of a yield is opposite only Shanghai city pannikin remarkable; and pannikin above quota Shanghai city value stock and deep market price are worth accrual consist in model, mix model stock.
我们采用MorningStar风格分类方法对中国A股市场构造风格投资组合,并就沪深两市分别考察了各风格投资组合的收益率特征,发现在中国市场上,价值股收益率高于成长股收益率的现象仅对沪市小盘股显著;而小盘股超额收益存在于沪市价值型股票和深市价值型、混合型股票。
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RMB financial products in this article yield factors for the study of commercial banks in the theory of personal finance and domestic financial product research RMB combing literature based on theoretical analysis from a financial product RMB yield factors, as well as factors product yield on the financial mechanism of the impact and application of new Industrial and Commercial Bank of China fixed-term renminbi financial products based on relevant data, in order to build a yield to maturity, duration, interest rate and money supply measures for the analysis of model variables the above theory can be tested, statistical analysis showed that: RMB Commercial Bank financial products yield to maturity and interest rates, money supply was a negative correlation between the volume, but no significant period of relevance.
本文以人民币理财产品收益率影响因素为研究对象,在对商业银行个人理财相关理论和国内人民币理财产品及其收益率研究文献进行梳理的基础上,尝试从理论层面分析人民币理财产品收益率的影响因素,以及各因素对理财产品收益率产生影响的作用机理,并以中国工商银行已到期2006年、2007年和2008年人民币理财产品的相关数据为依据,构建以到期收益率、期限、利率及货币供给量为变量的计量分析模型,用描述统计方法和斯皮尔曼相关分析对上述理论进行检验,统计分析结果显示:商业银行人民币理财产品的到期收益率和利率、货币供给量呈负相关关系,而与期限没有显著的相关性。
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This paper is composed of four parts: the first part is the exordium and explain the developing trend of researches of exchange rate volatility, the second part introduce the data that used in this article and describe the character of the object, the third part simulate the daily exchange rate of the ShangHai Stock Composite Price Index with ARCH models, the fourth part forecast the volatility of the daily exchange rate.
全文共分为四个部分:第一部分阐述了关于收益率波动研究的发展趋势,并总结了国内外基于ARCH 模型的一些实证研究成果;第二部分介绍了本文研究所使用的数据及处理方法,并对该数据的统计特征进行描述;第三部分引入ARCH 族模型对上证指数的日收益率序列进行拟合研究,通过拟合不同的模型揭示了日收益率波动过程中条件异方差的波动特征,定量的刻画了收益率波动的不确定性;第四部分将拟合的模型应用于对收益率波动的预测,分别从定性预测和定量预测两个角度介绍ARCH 族模型的应用实例。
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The second section analyzes the restraint conditions of establishing zero-coupon bond yield curve in China. In order to analyze the constraint conditions of establishing zero-coupon bond yield curve, we should firstly study the current situation and problems of Chinese bond market because the data estimating zero-coupon bond yield curve mainly come from bond market which can't be separated from the analysis of the development history of bond market. So the main content of this section includes the development history of bond market, the present problems of Chinese bond market and the restraint conditions of establishing zero-coupon bond yield curve in China.
第二节分析中国零息票债券收益率曲线构造的约束条件,由于估计零息票债券收益率曲线所需要的数据主要来自债券市场,这样,要研究零息票债券收益率曲线构造的约束条件,首先必须研究中国债券市场的现状和问题,而这一切又离不开对中国债券市场发展历史的分析,因此本节的内容包括中国债券市场发展的历史沿革、中国债券市场目前存在的主要问题和中国零息票债券收益率曲线构造的约束条件三个部分。
- 更多网络解释与收益率相关的网络解释 [注:此内容来源于网络,仅供参考]
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Asked Yield:要价收益率(卖出收益率)
出价收益率(买入收益率) Bid Yield | 要价收益率(卖出收益率) Asked Yield | 大额可转让定期存单 Negotiable Certificate of Deposit (CD)
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毛收益率 gross yield 毛收益率:gross yield
1867 1 gross wage 工资总额 gross wage 工资总额 | 1868 1 gross working capital 流动资产总额 gross working capital 流动资产总额 | 1869 1 gross yield 毛收益率 gross yield 毛收益率
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net income ratio:净收益率,销售收益率
net income净收益 | net income ratio净收益率,销售收益率 | net income to sales ratio净收益对销售额比率,销售收益率
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net income ratio:凈收益率,銷售收益率
net income凈收益 | net income ratio凈收益率,銷售收益率 | net income to sales ratio凈收益對銷售額比率,銷售收益率
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rate of return on investment:投资收益率
为再次准确温习财务概念,百度了一下,学习了一下: 投资收益率 投资收益率(rate of return on investment) 什么是投资收益率 投资收益率又称投资利润率是指投资收益(税后)占投资成本的比率.
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rate of return on sales:销售收益率
rate of return on investment 投资收益率 | rate of return on sales销售收益率 | rate of return on equity产权收益率
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yield gap:收益率差距
yield curve收益率曲线 | yield gap收益率差距 | yield rate收益率
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收益率差距","yield gap ","收益率差距:yield gap
4014,1,"year-end dividend ","年终股利","year-end dividend ","年终股利" | 4016,1,"yield gap ","收益率差距","yield gap ","收益率差距" | 4017,1,"yield rate ","收益率","yield rate ","收益率
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Yield to Call:提前兑回收益率
yield risk收益率风险 | yield to call提前兑回收益率 | yield to maturity到期收益率,全期收益率
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Yield to Call:通知收益率
yield to average life 平均年限收益率,债券平均期限收益率 | yield to call 通知收益率 | yield to crash 破产收益率