横截和时间数列
2. Cross-sectional and Time Series ModelsYou, YongChen, EdwardGambino, JackCanada, Statistics
本文介绍 Lo and Mackinlay (1989) 提出的时序动量模型 Time Series Momentum (TSM) Model (下称TSM) 与截面动量模型Cross-Sectional Momentum (CSM) Model (下称CSM), 并利用模型对组合收益率作归因分析. 1. 市场模型 市场模型研究一个跨期问题, 即在第 t 期时, 资产 i 的当期收益率 Ri,t 与第t−1...
Together, these allow a study to be called cross-sectional or longitudinal, and, within longitudinal, to be classified as repeated measures or time series. These three different types of study incur different costs and allow different sorts of conclusions to be drawn. Definitions Cross-sectional ...
网络并运用横截面时间序列 网络释义 1. 并运用横截面时间序列 ...ogram,简称ISSP)的数据所建构的新数据集,并运用横截面时间序列(cross-sectional time-series)方法进行了内生性统计 … www.qstheory.cn|基于 1 个网页
B.time-series momentum strategy. C.cross-sectional momentum strategy. 解释: C is correct. The strategy under consideration is a managed futures strategy—specifically, a cross-sectional momentum approach. Such an approach is generally implemented with securities in the same asset class, which is cor...
同学你好,time-series momentum就是比如你看茅台酒过去基本一直在涨,然后就认为后期还会涨,于是做多。翻译一下,就是过去涨的还会涨,过去跌的还会跌。 cross-sectional momentum strategy就是比如,同样是白酒行业,茅台是各方面的指标都很好,还一直涨,而沱牌酒各方面的指标都不好,导致一直跌。于是做多茅台,做空沱牌酒...
xtregis Stata's cross-sectional time-series regression command.xtreg, feestimates the parameters of fixed-effects models: .webuse nlswork(National Longitudinal Survey. Young Women 14-26 years of age in 1968) .xtset idcodepanel variable: idcode (unbalanced). xtreg ln_w grade age c.age#c.age...
读书笔记1《Traffic Flow Dynamics》——Chapter 3:Cross-Sectional Data 本章的题目是横截面数据的表示,本章讨论的是微观和宏观横截面数据的不同可视化。 基本图 fundamental diagram :Particularly the flow-density diagram contains so much information about the traffic dynamics that its idealized form is also ...
pooling of time series and cross section data全 热度: A Pooled Time-Series Analysis on the Relation Between… 热度: TimeSeries,CrossSectional&PooledData 1.TimeSeriesData -Onelocation’sdataacrosstime -Yearly,monthly,quarterly(everythreemonths),weekly,daily,etc. ...