TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelagged..
时间序列分析和截面分析是在工业界alpha research中的两种基本分析方法. 回顾文献, 我们发现在简单的随机过程模型中就能看到两种现代的分析的思路特点和区别. 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 ...
Uncovered Interest Parity Puzzle: Cross-sectional and Time-series Analysis - Lee - 2006Lee, B.J., 2006. Uncovered interest parity puzzle: cross-sectional and time-series analysis. Unpublished working paper, University of Notre Dame.Lee, Byung-Joo, 2006. Uncovered Interest Parity Puzzle: Cross-...
横截和时间数列
The empirical results show that the parameters of the model are highly significant and it captures most of the cross-sectional as well as time series ... Ren-Raw,Chen,and,... - 《Insurance Mathematics & Economics》 被引量: 25发表: 2008年 Do CDS spreads move with commonality in liquidity...
Pooled time series cross-section analysis advantages and 热度: 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 ...
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...
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it's observed...
Cross Sectional Data vs. Time Series Data Examples of Time Series Analysis Bottom Line The Importance of Time Series Analysis Time series analysis plays a pivotal role in extracting meaningful information from temporal data, enabling organizations to make informed decisions through uncovering patterns and...
Time series analysis can be useful to see how a given asset, security, or economic variable changes over time. Forecasting methods using time series are used in both fundamental and technical analysis. Although cross-sectional data is seen as the opposite of time series, the two are often used...