exam12s经典教材《金融时间序列分析》Ruey S. Tsay 英文第三版2012年试题及答案高清版 Booth School of Business,University of Chicago Business41202,Spring Quarter2012,Mr.Ruey S.Tsay Solutions to Midterm Problem A:(34pts)Answer briefly the following questions.Each question has two points.1.Describe ...
RueyS.Tsay Solutions A:(34pts)Answerbrieflythefollowingquestions.Eachquestion hastwopoints. DescribetwoimprovementsoftheEG modelovertheG volatilitymodel.Answer: (1)allowsforasym metricresponsetopastpositiveornegative returns, i.e. leverage useslog volatility relaxparameter constraint. Describetwomethods...
Booth School of Business, University of ChicagoBusiness 41202, Spring Quarter 2012, Mr. Ruey S. TsaySolutions to MidtermProblem A: (34 pts) Answer brief l y the following questions. Each questionhas two points.1. Describe two improvements of the EGARCH model over the GARCHvolatility model.An...
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BoothSchoolofBusiness,UniversityofChicagoBusiness41202,SpringQuarter2012,Mr.RueyS.Tsay SolutionstoMidterm ProblemA:(34pts)Answerbrie,ythefollowingquestions.Eachquestionhastwopoints. 1.DescribetwoimprovementsoftheEGARCHmodelovertheGARCHvolatilitymodel.
经典教材《金融时间序列分析》Ruey S. Tsay 英文第三版2012年试题及答案高清版 Booth School of Business, University of Chicago Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay Solutions to Midterm Problem A: (34 pts) Answer brie?y the following questions. Each question has two points. 1...
Booth School of Business, University of ChicagoBusiness 41202, Spring Quarter 2012, Mr. Ruey S. TsaySolutions to MidtermProblem A: (34 pts) Answer brief l y the following questions. Each questionhas two points.1. Describe two improvements of the EGARCH model over the GARCHvolatility model.An...