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Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
forward-looking Taylor rule Greenbook Parameter instability time-varying parameter model
2011/8/21
Despite the large amount of empirical research on monetary policy rules, there is surprisingly little consensus on the nature or even the existence of changes in the conduct of U.S. monetary policy. T...
Monetary Policy Transparency and Private Sector Forecasts: Evidence from Survey Data
monetary policy transparency private sector future monetary policy action longer-horizon predictability
2011/8/21
The article presents an analysis on the monetary policy transparency and private sector in the U.S. It provides a framework for discussing monetary policy transparency and how transparency is related ...