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科研机构
数学与系统科学研究... [33]
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期刊论文 [33]
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2022 [3]
2021 [6]
2020 [2]
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专题:数学与系统科学研究院
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A new method for estimating Sharpe ratio function via local maximum likelihood
期刊论文
JOURNAL OF APPLIED STATISTICS, 2022, 页码: 19
作者:
Xu, Wenchao
;
Lin, Hongmei
;
Tong, Tiejun
;
Zhang, Riquan
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2023/02/07
Direct method
heteroscedastic non-parametric regression
joint limiting distribution
local polynomial smoothing
Sharpe ratio function
Analysis of air quality spatial spillover effect caused by transportation infrastructure
期刊论文
TRANSPORTATION RESEARCH PART D-TRANSPORT AND ENVIRONMENT, 2022, 卷号: 108, 页码: 16
作者:
Guo, Yujing
;
Lu, Quanying
;
Wang, Shubin
;
Wang, Quanjing
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2023/02/07
Transportation infrastructure
Urban road area
Air pollution
Spatial Econometrics
Asset selection based on high frequency Sharpe ratio
期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
作者:
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
收藏
  |  
浏览/下载:21/0
  |  
提交时间:2022/04/29
Asset selection
High frequency Sharpe ratio
Ultrahigh dimensional
Serial correlation
Sure screening property
Direct local linear estimation for Sharpe ratio function
期刊论文
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2021, 页码: 23
作者:
Lin, Hongmei
;
Tong, Tiejun
;
Wang, Yuedong
;
Xu, Wenchao
;
Zhang, Riquan
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2022/04/02
Heteroscedasticity
local likelihood estimation
local linear regression
nonparametric regression
Sharpe ratio function
Model averaging prediction for time series models with a diverging number of parameters
期刊论文
JOURNAL OF ECONOMETRICS, 2021, 卷号: 223, 期号: 1, 页码: 190-221
作者:
Liao, Jun
;
Zou, Guohua
;
Gao, Yan
;
Zhang, Xinyu
收藏
  |  
浏览/下载:26/0
  |  
提交时间:2021/10/26
Asymptotic optimality
Autoregressive process
Consistency
Mallows criterion
Model averaging
Time-varying model averaging?
期刊论文
JOURNAL OF ECONOMETRICS, 2021, 卷号: 222, 期号: 2, 页码: 974-992
作者:
Sun, Yuying
;
Hong, Yongmiao
;
Lee, Tae-Hwy
;
Wang, Shouyang
;
Zhang, Xinyu
收藏
  |  
浏览/下载:48/0
  |  
提交时间:2021/06/01
Asymptotic optimality
Forecast combination
Local stationarity
Model averaging
Structural change
Time-varying model averaging
Model averaging based on generalized method of moments
期刊论文
ECONOMICS LETTERS, 2021, 卷号: 200, 页码: 5
作者:
Wang, Weiwei
;
Zhang, Qi
;
Zhang, Xinyu
;
Li, Xinmin
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  |  
浏览/下载:37/0
  |  
提交时间:2021/04/26
Generalized method of moments
Model averaging
Cross-validation criterion
Asymptotic optimality
Exploring evolution trends in cryptocurrency study: From underlying technology to economic applications
期刊论文
FINANCE RESEARCH LETTERS, 2021, 卷号: 38, 页码: 8
作者:
Jiang, Shangrong
;
Li, Xuerong
;
Wang, Shouyang
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  |  
浏览/下载:16/0
  |  
提交时间:2021/04/26
Cryptocurrency
Bibliometric
Co-citation analysis
Co-word analysis
Model averaging estimation for high-dimensional covariance matrices with a network structure
期刊论文
ECONOMETRICS JOURNAL, 2021, 卷号: 24, 期号: 1, 页码: 177-197
作者:
Zhu, Rong
;
Zhang, Xinyu
;
Ma, Yanyuan
;
Zou, Guohua
收藏
  |  
浏览/下载:73/0
  |  
提交时间:2021/06/01
asymptotic optimality
consistency
covariance regression network model
Mallows criterion
model averaging
Convergence of Self-Tuning Regulators under Conditional Heteroscedastic Noises with Unknown High-Frequency Gain
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 15
作者:
Zhang, Yaqi
;
Guo, Lei
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2021/01/14
ARCH model
conditional heteroscedasticity
convergence
self-tuning regulator
weighted least-squares algorithm
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