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Some Experimental Results on the Statistical Properties of Least Squares Estimates in Control Problems
Statistical Properties Control Problems
2015/8/5
The statistical properties of the certainty equivalence control rule and of the least squares
estimates generated by this rule are examined experimentally in a linear model with two
unknown paramete...
Strong Consistency of Least Squares Estimates in Normal Regression
Strong Consistency Least Squares Estimates Normal Regression
2015/8/5
Strong Consistency of Least Squares Estimates in Normal Regression.
Error estimates for binomial approximations of game put options
Error estimates for binomial approximations of game put options
2012/9/13
A game or Israeli option is an American style option where both the writer and the holder have the right to terminate the contract before the expiration time. As shows the fair price for this option c...
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Call and put pricing functions Implied volatility Asymptotic formulas Pareto-type distributions Regularly varying functions
2010/11/1
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility
associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...
General Equilibrium Theories of the Equity Risk Premium: Estimates and Tests
General Equilibrium Theories Equity Risk Premium Estimates and Tests
2010/9/7
This paper provides new estimates and tests of a number of leading general equilibrium theories of the price of equity and, to our knowledge, the first estimates of the time-varying equity premia impl...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...