查询词典 volatility

Stochastic volatility model assumes that the conditional distribution of returns is normal during most of the empirical applications.

SV模型在实际应用中大多都假定以潜在波动为条件的收益的分布是正态的，本文分析并比较了正态SV模型和具有厚尾分布，特别是t分布的SV模型。

Using GARCH（ 1,1 ） model with dummy variables in return equation and modified GARCH（ 1,1 ） model with dummy variables in conditional variance equation, the writer of this paper conducts an empirical investigation into the day-of-the-week effect on returns and volatility in open-end fund during the period of June 1,2003 and August 18, 2005 in China respectively.

运用均值方程含有虚拟变量的GARCH（1，1）模型和条件方差方程含有虚拟变量的修正的GARCH（1，1）模型，我们分别对2003年6月1日至2005年8月18日期间中国开放式基金收益的周内效应和收益波动性的周内效应进行实证研究，结果显示，在研究期间内样本基金收益及收益的波动性在周三这一天显著不同于其他交易日，即存在"周三效应"。

In these three processes, the volatility of the asset price is no more a constant but a deterministic function of time and asset price.

在这三种过程中，资产价格的波动度不再是一个固定的常数，而是时间与资产价格的明确函数。

At the same time, the volatility of the stock returns was found to be the determinants of the volatilities of consumer price index and exports.

同时，股票市场上的波动影响的主要是消费者价格指数和出口额的波动。

The experimental result shows: the exchange rate will follow its fundamental value in the long run; there is a contemporaneously positive correlation between the trading volume and volatility.

模拟实验结果表明，市场汇率与其基础值之间存在长期的协整关系；市场汇率的变动性与交易量呈同期正相关。

Notwithstanding continued equity and corporate bond market volatility, the U.S. household sector's balance sheet appears to have stabilized.

尽管产权和公司债务市场继续变化不定，但是美国家庭部门的资产负债表看来已经稳定了。

In particular, short rate volatility and convexity are only weakly correlated.

具体的说，短期汇率波动与短期汇率凸性之间的相关性是比较弱的。

Realized covariance matrix is a new measurement of the volatility and correlation of portfolio.

"已实现"协方差矩阵是对投资组合波动性及相关性的一种全新的度量方法。

At last, extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate high-frequency data.

接着，实证研究了上海股市的"已实现"波动和调整"已实现"波动的特性，并针对调整"已实现"波动的长记忆性和"杠杠"效应建立了 ARFIMAX 模型。

Based on the high-frequency data, the realized volatility and realized covariance matrix was introduced systematically.

系统介绍基于高频交易数据的"已实现"波动率及由它拓展而来的"已实现"协方差矩阵。

With Death guitarist Schuldiner adopting vocal duties, the band made a major impact on the scene.

随着死亡的吉他手Schuldiner接受主唱的职务，乐队在现实中树立了重要的影响。

But he could still end up breakfasting on Swiss-government issue muesli because all six are accused of nicking around 45 million pounds they should have paid to FIFA.

不过他最后仍有可能沦为瑞士政府&议事餐桌&上的一道早餐，因为这所有六个人都被指控把本应支付给国际足联的大约4500万英镑骗了个精光。