期刊文献+
共找到2篇文章
< 1 >
每页显示 20 50 100
网络资源用户付费应用的研究
1
作者 原伟泽 耿建军 《生产力研究》 CSSCI 北大核心 2009年第11期87-88,91,共3页
信息就是价值。网路资源的价值端取决于潜在买主对于智慧财产的看法。网络外部性有互依性与非补偿性两项重要的特性。非补偿性是指生产成本无法要求其他人支付。网络交易型态有寄卖模式,佣金模式,固定费率模式等。
关键词 网路资源 外部性 交易型态
下载PDF
A scalar dynamic conditional correlation model:Structure and estimation
2
作者 Hui Wang Jiazhu Pan 《Science China Mathematics》 SCIE CSCD 2018年第10期1881-1906,共26页
The dynamic conditional correlation(DCC) model has been widely used for modeling the conditional correlation of multivariate time series by Engle(2002). However, the stationarity conditions have been established only ... The dynamic conditional correlation(DCC) model has been widely used for modeling the conditional correlation of multivariate time series by Engle(2002). However, the stationarity conditions have been established only recently and the asymptotic theory of parameter estimation for the DCC model has not yet to be fully discussed. In this paper, we propose an alternative model, namely the scalar dynamic conditional correlation(SDCC) model. Sufficient and easily-checked conditions for stationarity, geometric ergodicity, andβ-mixing with exponential-decay rates are provided. We then show the strong consistency and asymptotic normality of the quasi-maximum-likelihood estimator(QMLE) of the model parameters under regular conditions.The asymptotic results are illustrated by Monte Carlo experiments. As a real-data example, the proposed SDCC model is applied to analyzing the daily returns of the FSTE(financial times and stock exchange) 100 index and FSTE 100 futures. Our model improves the performance of the DCC model in the sense that the Li-Mc Leod statistic of the SDCC model is much smaller and the hedging efficiency is higher. 展开更多
关键词 dynamic conditional correlation stationarity ERGODICITY QMLE CONSISTENCY asymptotic normality
原文传递
上一页 1 下一页 到第
使用帮助 返回顶部