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مجموعه آموزشی جامع فارکس

بایگانی‌ها Financial Data - مرجع آموزش بازار بورس و فارکس

De Matos And Fernandes-Testing The Markov Property With Ultra-High Frequency Financial Data

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of […]

تاریخ : مارس 20th, 1501
Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data

Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean of intra-day UK long gilt futures returns at the five and fifteen minute frequencies. The higher frequency model entails a first-order autoregressive process with switching intercept. The lower frequency model is first-order autoregressive for returns near zero, but a near […]

تاریخ : مارس 23rd, 0846