JER, 第 11 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2006 |
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第 1 到 3 筆結果,共 29 筆
第 179 頁
... transition variable , we compute the LM statistics and the associated p - values in the next step . We perform the following linearity tests allowing up to 4 AR lags for the transition variable . For each LM statistic , we compute the ...
... transition variable , we compute the LM statistics and the associated p - values in the next step . We perform the following linearity tests allowing up to 4 AR lags for the transition variable . For each LM statistic , we compute the ...
第 180 頁
... transition variable is used . From Table 4 , we can see that yt - 3 as a transition variable has the smallest p - values . Table 4. p - values for the LM - type Tests for STAR Nonlinearity for the Log of Price - Dividend Ratio St LM1 ...
... transition variable is used . From Table 4 , we can see that yt - 3 as a transition variable has the smallest p - values . Table 4. p - values for the LM - type Tests for STAR Nonlinearity for the Log of Price - Dividend Ratio St LM1 ...
第 186 頁
... transition function becomes steeper . As shown , the transition function for y = 19.98 is closely located with the transition function for y = 100. That means the transition from one regime to the other takes place quite instantaneously ...
... transition function becomes steeper . As shown , the transition function for y = 19.98 is closely located with the transition function for y = 100. That means the transition from one regime to the other takes place quite instantaneously ...
內容
Sudipto Dasgupta NonExpected Utility 1 | 165 |
466 | 230 |
Hangyong Lee The Impacts of Risk Management | 279 |
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analysis asset risks assumed assumption Autoregressive Basel II BEEL cash flows coefficient cointegrated composition of equity computed consumption correlation cost currency composition currency hedge debt debt-asset ratio derivatives distribution dividend downturn LGD econometric Economic effect EIA experts empirical environmental accidents equation errors exchange rate expected firm's forecasting foreign financial assets futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response increase industry interest rate swaps investment Journal Korea lagged learning-by-doing linearity lobbying activity long-horizon LSTAR model nonlinear null hypothesis p-values parameters portfolio probability of default prospect theory real estate recovery rates regime regression relative Response of STOCK risk aversion risk exposures risk management sample second period SETAR significant spillover spot price standard deviation strategic swap users systematic risk Table Teräsvirta test statistics tion transition function transition variable utility function volatility