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Cointegrated Time Series Analysis for Mean Reversion Trading with RA while back we considered a trading model based on the application of the ARIMA and GARCH time series models to daily S&P500 data. We mentioned in that article as well as other previous time series analysis articles that we ...
Cointegrated Augmented Dickey Fuller Test for Pairs Trading Evaluation in RIn the previous article on cointegration in R we simulated two non-stationary time series that formed a cointegrated pair under a specific linear combination. We made use of the statistical Augmented Dickey-Fuller, Phillips...
cointegrated-variables网络时间序列变量;时间序列变数 网络释义 1. 时间序列变量 ...以一组特定的动态方程可以重新表述具有“共整合性”的时间序列变量(英语:cointegrated variables)之间的动态关系,而这 …zh.wikipedia.org|基于29个网页 2. 时间序列变数 ...以一组特定的动态方程可以重新表述具有「共整合性」的时间...
In the first post we will construct mean reverting time series data from cointegrated ETF pairs. The two pairs we will analyze are EWA (Australia) – EWC (Canada) and IGE (NA Natural Resources) – EWZ (Brazil). Figure 1&2: Blue: EWA (left) & EWZ (right), Red: EWC (left) & ...
网络时间序列变量 网络释义 1. 时间序列变量 ...tationtheorem,他们证明了具共整合性的时间序列变量(cointegratedvariables)之间的动态关系能够被一组特定的更具经济 … finance.sina.com.cn|基于 1 个网页
Therefore if exchange rates are at most I(1) series (a common finding in the literature for the G-7), and if the risk premium is stationary, one should find that interest rates are cointegrated on a bilateral basis. It is noteworthy that in recent years many countries have liberalized ...
ahouse prices commonly used in previous literature: nominal gross[translate] ais:[translate] awhere j and t indicate ROR and time, respectively; HP is the log of[translate] aare I(1) and cointegrated, then the error term jt is I(0) for all j. The[translate]...
(1995), Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press.Johansen, S. 1995. Likelihood-... Y Kitamura - 《Econometric Theory》 被引量: 305发表: 1998年 Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model We consider ...