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金融工程中资产收益的连续时间模型估计方法评述

A Review of the Estimation of Continuous-Time Equity Return Models in Financial Engineering
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摘要 总结了在过去30年中连续时间模型的主要估计方法,并指出了现在和未来该领域研究所面临的主要课题. A review was made of the significant development in the continuous - time field in the past 30 years, highlighting the innovations in econometric theory and in the estimation techniques for models in continuous time. On thebasis of the review, some possible new areas of future research were specified.
作者 胡素华
出处 《绍兴文理学院学报》 2007年第7期37-45,共9页 Journal of Shaoxing University
基金 国家自然科学基金资助(70301006)
关键词 连续时间模型 马尔可夫链蒙特卡罗方法 矩估计 资产收益 continue - time models Markov chain Monte Carlo method equity return moment estimation
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