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 175 頁
... transition variable st is assumed to be a lagged endogenous variable , that is , st = yt - d for a certain integer d ... transition function , G ( st ; Y , c ) = 0 and G ( st ; Y , c ) = 1 , where the smoothness of the transition from ...
... transition variable st is assumed to be a lagged endogenous variable , that is , st = yt - d for a certain integer d ... transition function , G ( st ; Y , c ) = 0 and G ( st ; Y , c ) = 1 , where the smoothness of the transition from ...
第 176 頁
... transition variable and the lag orders in the SETAR model , using the AIC . Lagged returns for the transition variable are considered up to four - year lag . In the mini- mization of the AIC , we consider the models in which the AR ...
... transition variable and the lag orders in the SETAR model , using the AIC . Lagged returns for the transition variable are considered up to four - year lag . In the mini- mization of the AIC , we consider the models in which the AR ...
第 188 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 ...
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analysis asset risks assume assumption capacity utilization capital stock cash flows cointegrated correlation cost currency composition currency hedge debt debt-asset ratio depreciation derivatives econometric effect EIA experts empirical environmental accidents equation equilibrium expected exponential utility firm's foreign financial assets foreign firm futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response incentive increase industry interest rate swaps investment Korea Kt+1 lagged learning-by-doing linear lobbying activity LSTAR model marginal measures non-users null hypothesis optimal subsidy output shock parameters period-1 portfolio precommit predictability price-dividend ratio probability of default production profits prospect theory Real Business Cycle regime regression relative Response of STOCK risk aversion risk exposures risk management second period significant spillover spot price standard deviation statistic stock prices stock returns strategic swap users Table Teräsvirta tion trade transition function utility function volatility