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踢庈部迵粽夤冪撳腔瑞玸換壽炵求求價衾髦磁薹腔妗痐旃噶

※发布时间:2021-3-23 4:09:29   ※发布作者:habao   ※出自何处: 

  ﹛﹛呴覂炵苀俶踢瑞玸燴蹦旃噶腔淶俇囡ㄛ植妗痐煦昴腔褒僅懂蕉舷踢庈部迵粽夤冪撳腔瑞玸換壽炵ㄛ傖峈珨跺陔腔旃噶弝褒﹝

  ﹛﹛婌腔眈壽旃噶憩眒蛁砩善ㄛ價衾祥肮薹粒欴ㄛ奀潔唗蹈杅擂腔褫蚚俶頗旆笭忳癹﹝呴覂珋測數講冪撳悝源楊腔祥剿楷桯ㄛ郔陔腔旃噶羲宎粒蚚髦耀倰勤祥肮棒曹講潔腔眈誑釬蚚桯羲煦昴ㄛ輪爛懂紨祭茼蚚衾踢鍰郖眈壽恀枙腔旃噶﹝Ghysels脹婓郔陔旃噶笢枑堤賸髦砃講赻隙寥耀倰ㄗThe Mixed-Frequency VAR ModelㄛMF-VARㄘㄛ衄虴親督賸換苀髦耀倰拸楊煦賤啎聆昫船源船腔疪﹝婓森價插奻ㄛCotter脹輛珨祭枑堤賸髦磁薹祛堤源楊ㄛ蜆源楊夔劂價衾祥肮棒腔嗣曹講桯羲煦昴ㄛ講趙詢曹講迵腴曹講潔腔瑞玸喳僻迵換壽炵﹝

  ﹛﹛弊囀竭嗣悝氪眒植諳賦凳﹜準盄俶換脹祥肮褒僅勤炵苀俶踢瑞玸輛俴賸旃噶﹝軝夤蜆鍰郖腔旃噶ㄛ忑珂ㄛ珋衄恅瓬湮窒煦摩笢婓煦昴踢窒藷眳潔腔瑞玸換虴茼ㄛ竭屾勤踢瑞玸迵粽夤冪撳眳潔腔眈誑壽炵桯羲旮旃噶﹝棒ㄛ換苀僕煦昴遺殤頗秪綺謹詢陓洘奧莉汜賦蹦船ㄛ麵眕袧算講踢瑞玸迵粽夤冪撳腔喳僻換絳壽炵﹝郔綴ㄛ婓煦昴徹最笢都都醱還※峎僅逡紸§ㄗCurse of Dimensionalityㄘ恀枙ㄛ妏腕珋衄旃噶拸楊憩炵苀俶踢瑞玸勤粽夤冪撳窒藷腔撿极喳僻桯羲諦夤煦昴﹝奧朓腔秪赽崝嫘砃講赻隙寥ㄗFactor-Augmented Vector Autoregressiveㄘ耀倰祥躺夔衄虴親督杅擂忳癹恀枙ㄛ奧夔劂儕華覦賒踢瑞玸迵湮講祥肮濬梗粽夤曹講腔釬蚚壽炵﹝

  ﹛﹛衄牖衾森ㄛ忑珂ㄛ掛恅價衾CAViaR耀倰聆僅扂弊嘖庈部迵俋颯庈部腔帣窒瑞玸﹝棒ㄛ掛恅粒蚚髦磁薹祛堤源楊ㄛ煦梗植噙怓迵雄怓弝褒蕉舷賸扂弊踢庈部迵粽夤冪撳潔腔眈誑釬蚚壽炵ㄛ甜價衾髦秪彆潰桄脹源楊輛珨祭抻枒賸踢峉儂潔腔瑞玸換絳儂秶﹝郔綴ㄛ掛恅粒蚚朓腔秪赽崝嫘砃講赻隙寥耀倰ㄛ煦昴賸踢瑞玸勤扂弊粽夤冪撳7跺窒藷90跺曹講腔撿极喳僻ㄛ峈樓踢潼奪衪覃儂秶膘扢ㄛ帤迾喙觭輛俴炵苀俶踢瑞玸滅諷ㄛ眕摯凳膘妗极冪撳迵踢庈部謎俶誑雄腔冪撳遠噫ㄛ悵梤冪撳恛笢砃疑迵酗砃疑腔楷桯岊ㄛ枑鼎笭猁統蕉甡擂﹝

  ﹛﹛峈賸潠趙數呾ㄛ耀倰樑隅杅擂腔粒欴薹硐煦峈詢ㄗHigh FrequencyㄛHFㄘ﹜腴ㄗLow FrequencyㄛLFㄘ謗濬ㄛ薹掀薹峈m﹝秪森ㄛGhysels脹煦梗蔚詢杅擂蔥峈腴杅擂ㄛ眕摯擄磁峈髦曹講ㄗMixed FrequencyㄛMFㄘ﹝笢ㄛ髦砃講褫蚚狟宒桶尨ㄩ

  ﹛﹛峈賸潰桄髦曹講潔岆瘁湔婓酗Granger秪彆壽炵ㄛ坻婓蕉藉啎聆祭酗h腔價插奻蔚宒ㄗ2ㄘ輛珨祭孺桯ㄛ腕善MF-VARㄗpㄛhㄘ耀倰ㄛ撈ㄩ

  ﹛﹛笢ㄛR岆俴雛窏腔恁寁撻淝ㄛBㄗhㄘ峈MF-VARㄗpㄛhㄘ耀倰腔炵杅ㄛr寀峈埮旰砃講﹝峈賸勤耀倰腔衄虴俶輛俴潰桄ㄛGhysels肮奀凳膘賸狟腔Wald苀數講ㄩ

  ﹛﹛峈陓洘摩笢腔衄虴欴掛杅講ㄛ岆宒ㄗ5ㄘ埻樑扢笢Bㄗhㄘ腔郔苤媼傚嘛數講﹝森俋ㄛ蜆耀倰遜妏蚚赻撼p硉楊ㄗbootstrapped p-valueㄘ勤Wald苀數講腔珆翍俶阨輛俴輛珨祭潰桄﹝

  ﹛﹛Cotter脹凳膘賸髦磁薹祛堤源楊ㄛ植奧夔劂眻諉妏蚚埻宎腴腔粽夤冪撳杅擂睿詢踢笙昢杅擂嘛數祛堤硌杅迵喳僻薯僅﹝價衾森ㄛCotter脹凳膘賸k峎腔髦磁薹妐講唗蹈ㄛ蜆唗蹈婦漪賸腴ㄗ芞8ㄘ迵詢ㄗ芞9ㄘ謗濬陓洘ㄛ薹掀瞰峈m﹝坻蠅婓藩跺腴奀潔僇腔價插奻ㄛ蔚詢夤聆硉煦郪ㄛ眕晞桯羲啎聆昫船源船煦賤ㄗFEVDㄘ擄磁﹝

  ﹛﹛掛恅煦梗恁蚚奻痐軘硌睿鏍啟嫘砱妗暱颯薹硌杅釬峈嘖庈迵颯庈硌杅彶祔薹腔算講硌梓ㄛ甜跦擂Cotter脹腔膘祜ㄛ扂蠅蔚藩跺堎囀腔蝠眢赫煦峈4笚ㄛ甜婓森價插奻妏蚚僅杅擂凳婖笚薹腔瑞玸硌梓﹝

  ﹛﹛扂蠅妏蚚堎僅馱珛崝樓硉懂算講扂弊冪撳莉堤ㄛ甜煦梗恁寁笢弊扦頗秏煤錨忮軞塗﹜嘐隅訧莉芘訧俇傖塗﹜踢儂凳笢鏍啟跪砐湃遴腔堎僅崝樓硉眕摯窅俴潔肮珛莞質樓歙瞳薹﹜億啟睿袧億啟ㄗM2ㄘ釬峈秏煤﹜芘訧﹜湃遴﹜瞳薹﹜億啟脹粽夤窒藷腔測桶曹講ㄛ肮奀竘賸粽夤冪撳劓珨祡硌杅迵秏煤氪陓陑硌杅ㄛ甜婓森價插奻凳婖賸7跺陓洘摩ㄛ濬梗婦漪賸馱珛崝樓硉﹜秏煤﹜芘訧﹜湃遴﹜億啟﹜冪撳劓迵秏煤氪陓陑ㄛ僕數90跺硌梓﹝笢ㄛ奻痐軘硌懂埭衾杅擂踱ㄛ颯薹杅擂懂埭衾弊暱呾窅俴ㄗBank of International SettlementsㄛBISㄘㄛ奧眈壽腔粽夤曹講寀懂埭衾笢冪厙苀數杅擂踱眕摯杅擂踱﹝甡擂杅擂腔褫鳳腕俶ㄛ掛恅煦昴腔欴掛潔峈1996爛5堎1求2018爛12堎31﹝

  ﹛﹛峈賸撿衄褫掀俶ㄛ郩悜蜆鍰郖腔旃噶嫦瞰ㄛ掛恅粒蚚CPI隅價硌杅蔚奻扴靡砱硌梓覃淕峈妗暱曹講ㄛ甜賦磁X11源楊勤粽夤曹講輛俴撫誹俶覃淕﹝

  ﹛﹛忑珂ㄛ掛恅粒蚚CAViaR耀倰聆僅扂弊嘖庈部迵俋颯庈部腔帣窒瑞玸ㄛ妏蚚DQ潰桄輛俴綴桄煦昴ㄛ煦昴桶隴ㄛ1996爛祫2018爛潔ㄛ扂弊訧掛庈部腔帣窒瑞玸迵珨虳笭湮瑞玸岈璃踡躇眈壽ㄛ蚕衾扂弊嘖庈部迵俋颯庈部湔婓踡躇腔壽薊俶ㄛ眢蚕森竘楷炵苀俶踢瑞玸﹝

  ﹛﹛婓恅煦昴腔價插奻ㄛ掛恅眕嘖迵俋颯庈部腔CAViaR硌梓釬峈扂弊踢庈部帣窒瑞玸腔算講硌梓ㄛ甜煦梗粒蚚髦迵僕源楊蕉舷扂弊炵苀俶踢瑞玸迵粽夤冪撳潔腔眈誑釬蚚儂秶﹝賦彆桶隴ㄛ婓軞极欴掛囀踢庈部腔帣窒瑞玸甜帤勤扂弊冪撳恛堍俴腔價掛怓岊婖傖旆笭荌砒﹝赻1996爛眕懂ㄛ扂弊踢庈部歙峈瑞玸喳僻腔噱怀堤源ㄛ垀衄粽夤冪撳窒藷歙峈瑞玸喳僻腔噱怀氪ㄛ奧眈勤衾俋颯庈部ㄛ埭衾嘖庈部腔瑞玸喳僻薯僅載湮﹝肮奀ㄛ粽夤窒藷潔珩湔婓誕腔壽薊俶ㄛ窅俴潔肮珛莞質庈部迵億啟庈部潔湔婓珆翍腔釬蚚壽炵﹝森俋ㄛ懂赻秏煤﹜芘訧腔喳僻眢輛珨祭孺汃﹝

  ﹛﹛扂蠅掀誕賸瑞玸祛堤硌杅婓髦迵僕耀倰狟腔船硉迵掀硉﹝賦彆桶隴ㄛ妏蚚髦源楊數呾腔踢庈部腔瑞玸祛堤堈詢衾僕耀倰狟腔祛堤僅﹝掛恅輛珨祭蕉舷賸祥肮啎聆狟ㄛ煦梗妏蚚髦迵僕耀倰嘛數腔瑞玸祛堤虴茼﹝褫眕奠華艘善ㄛ婓謗笱源楊狟ㄛ踢庈部勤粽夤冪撳腔瑞玸喳僻歙呴覂啎聆腔晊酗祥剿崝ㄛ噱祛堤薯僅祥剿崝樓﹝僕耀倰婓腴嘛冪撳窒藷忳善喳僻腔肮奀ㄛ婓算講瑞玸祛堤虴茼奀ㄛ珩湔婓珆翍腔笴綴俶﹝

  ﹛﹛婓奻扴欴掛噙怓煦昴腔價插奻ㄛ掛恅妏蚚 ※幗雄嘛數煦昴§源楊ㄛ撿极妎梗荌砒扂弊冪撳楷桯擁腔瑞玸岈璃﹝賦彆桶隴ㄛ價衾髦源楊睿僕源楊腔軞祛堤硌杅婓欴掛潔腔疏雄軗岊湮祡濬侔ㄛ2008爛眕懂ㄛ庈部潔腔瑞玸祛堤淕极傘奻汔岊﹝筍赻2016爛12堎笢栝冪撳馱釬頗祜忑棒覃猁參滅毓踢瑞玸溫善載樓笭猁腔弇离綴ㄛ潼奪渠囥躇摩堤怢ㄛ瑞玸祛堤硌杅珩植2017爛綴羲宎謹峚狟邈﹝迵森肮奀ㄛ婓欴掛潔ㄛ粒蚚髦源楊嘛數腔瑞玸祛堤歙珆翍華詢衾僕源楊腔嘛數賦彆ㄛ肮奀夔載疑華妎梗堤扂弊2016爛1堎腔※剿儂秶§堤怢脹帣窒瑞玸岈璃﹝迵森倛傖珅隴勤掀腔岆ㄛ價衾僕耀倰腔瑞玸祛堤硌杅甡導歙拸楊勤奻扴岈璃輛俴袧覦賒ㄛ旆笭腴嘛賸訧掛庈部莉汜腔瑞玸喳僻﹝

  ﹛﹛狟醱粒蚚髦祛堤源楊勤1997爛捚粔踢峉儂脹跺笭猁腔帣窒瑞玸惇楷奀ㄛ扂弊踢庈部迵粽夤冪撳潔腔釬蚚壽炵桯羲煦昴﹝

  ﹛﹛扂蠅蕉舷賸捚粔踢峉儂奀ㄗ1997爛7堎求1999爛12堎ㄘㄛ扂弊踢庈部迵粽夤跪窒藷潔腔瑞玸喳僻薯僅﹝褫眕奠華楷珋ㄛ婓蜆峉儂惇楷奀僇ㄛ踢庈部甡導岆瑞玸腔噱怀堤源ㄛ粽夤窒藷寀歙峈瑞玸喳僻腔噱諉彶氪﹝笢ㄛ嘖庈部莉汜賸郔詢腔瑞玸祛堤虴茼ㄛ俋颯庈部腔勤俋釬蚚薯僅誕苤ㄛ涴砩庤覂扂弊勤粽夤覃諷源砃輛俴腔覃淕ㄛ衄虴遣庋賸蜆弊暱踢瑞惟籵徹俋颯庈部婖傖腔俋祛喳僻﹝

  ﹛﹛M2迵瞳薹岆粽夤冪撳笢腔情遠誹ㄛ忳善賸郔峈珆翍腔踢瑞玸喳僻﹝捚粔踢峉儂潔ㄛ陓湃霜雄俶踡桲ㄛ窅俴潔瞳薹庈部涾絕ㄛ輛奧勤湃遴鼎跤莉汜珆翍腔荌砒ㄛ奧湃遴窒藷呴眳勤馱珛崝樓硉莉汜賸喳僻﹝

  ﹛﹛弊暱踢峉儂湍懂腔訧掛庈部腔曄轄疏雄ㄛ妏腕峉儂潔扂弊珛訧剒熬﹜懈鏍秏煤剒腴譎ㄛ奧妗极冪撳腔軗珩勤踢庈部莉汜賸珆翍腔祥謎毀嚏﹝

  ﹛﹛蚕眕奻煦昴ㄛ褫眕奠華艘堤ㄛ扂弊踢庈部迵妗极冪撳潔躇眈蟀ㄛ踢瑞玸眢勤粽夤冪撳婖傖珆翍喳僻ㄛ甜籵徹眈誑釬蚚儂秶莉汜毀嚏虴茼ㄛ竘楷瑞玸喳僻婓冪撳炵苀笢腔填俶悜遠﹝

  ﹛﹛誕眳欴掛腔煦昴賦彆ㄛ婓峉儂潔ㄛ訧掛庈部勤妗极冪撳腔瑞玸喳僻僅珆翍枑詢ㄛ踢峉儂頗溫湮訧掛庈部勤粽夤冪撳腔蛹俋窒俶ㄛ喳僻妗极冪撳腔恛楷桯﹝奧嘖庈部勤跪粽夤窒藷腔瑞玸喳僻婓跪奀歙隴珆湮衾俋颯庈部腔荌砒ㄛ岆扂弊踢炵苀笢翋猁腔瑞玸怀堤氪﹝森俋ㄛ誕眳懂赻踢庈部腔喳僻ㄛ弊囀踢极炵笢婓瑞玸腔惇楷ㄛ蔚褫夔竘楷扂弊妗极冪撳窒藷載湮盟僅腔疏雄﹝

  ﹛﹛婓奻恅腔旃噶價插奻ㄛ掛恅粒蚚粽夤冪撳劓珨祡硌杅杸測馱珛崝樓硉ㄛ甜輛珨祭蔚秏煤氪陓陑硌杅馨煦昴遺殤ㄛ跦擂郔陔楷桯腔髦秪彆壽炵潰桄源楊ㄛ旮抻枒笢弊※嘖婐§奀ㄗ2015爛6堎求2017爛12堎ㄘㄛ瑞玸喳僻婓扂弊踢庈部迵粽夤冪撳跪窒藷潔腔換絳繚噤﹝

  ﹛﹛髦潰桄賦彆珆尨ㄛ嘖庈部迵俋颯庈部腔瑞玸薊雄虴茼婓嘖婐潔湮盟崝ㄛ湔婓珆翍腔邧砃換壽炵﹝肮奀ㄛ扂弊踢庈部婓笭湮嘖婐潔腔操盟涾絕勤秏煤﹜芘訧﹜瞳薹睿億啟脹粽夤冪撳窒藷腔恛堍俴婖傖隴珆喳僻﹝

  ﹛﹛森俋ㄛ踢庈部腔瑞玸岈璃婓勤M2﹜瞳薹脹粽夤窒藷婖傖眻諉荌砒腔肮奀ㄛ頗冪蚕秏煤氪陓陑勤粽夤冪撳腔恛莉汜潔諉喳僻﹝奧ㄛ籵徹勤掀煦昴扂蠅楷珋ㄛ換苀僕煦昴源楊拸楊妎梗※踢瑞玸↙秏煤氪陓陑↙眈壽粽夤冪撳窒藷§涴珨笭猁腔瑞玸換芴噤﹝

  ﹛﹛扂蠅賦磁髦秪彆壽炵腔煦昴賦彆ㄛ芢堤賸眕狟腔喳僻換絳儂秶芞﹝忑珂ㄛ秏煤迵芘訧窒藷忳善賸踢瑞玸腔珆翍喳僻﹝棒ㄛ遜湔婓覂※踢庈部↙M2↙芘訧↙踢庈部§腔秪彆壽炵﹝郔綴ㄛ※踢庈部↙瞳薹↙湃遴↙踢庈部§腔秪彆壽炵桶隴ㄛ婓踢瑞玸喳僻狟ㄛ窅俴潔肮珛莞質庈部涾絕ㄛ輛奧莉汜賸珆翍腔彶虴茼迵杸測虴茼ㄛ妏腕質遴蔥腴湃遴阨﹝森俋ㄛ湔婓※眈壽粽夤窒藷↙秏煤氪陓陑↙踢庈部§※冪撳劓↙踢庈部§腔粽夤毀嚏儂秶﹝

  ﹛﹛掛恅粒蚚賸秪赽崝嫘砃講赻隙寥耀倰ㄛ煦昴2015爛※笭湮嘖婐§潔ㄛ炵苀俶踢瑞玸勤扂弊粽夤冪撳腔喳僻荌砒﹝賦彆桶隴ㄛ迵襄蚐妘脹剒粟俶誕苤腔俴珛祥肮ㄛ婓踢庈部雄絕潔ㄛ模撿脹剒粟俶誕湮腔俴珛忳善賸隴珆腔蛹醱喳僻﹝肮奀ㄛ軓氈俴珛腔秏煤婓岈璃場珩堤珋賸傻婃腔隙邈怓岊﹝森俋ㄛ酴踢脹幛踢扽妀甡導岆笭猁旌玸訧莉眳珨ㄛ婓珨隅最僅奻夔劂遣庋踢庈部疏雄腔瑞玸﹝誕眳秶婖珛﹜滇華莉珛眕摯踢珛ㄛ逤醣迵妀昢督昢珛勤踢瑞玸腔鏗覜最僅誕詢﹝忳踢庈部湮盟疏雄荌砒ㄛ秏煤氪勤庈部腔啎堤珋賸厥哿俶腔狟覃﹝

  ﹛﹛森俋ㄛ峉儂潔ㄛ嘖庈迵颯庈腔瑞玸煦梗勤傻湃遴摯擂訧莉汜賸淏砃荌砒ㄛ笢酗湃遴忳善賸蛹砃喳僻﹝秪森ㄛ婓峉儂潔茼勤踢瑞玸岈璃湍懂腔傻霜雄俶恀枙奀ㄛ茼巠僅枑詢笢苤珛笢酗湃遴塗僅ㄛ撿极淢梗踢瑞玸岈璃勤祥肮粽夤窒藷腔荌砒ㄛ妗囥載儕牉趙腔億啟覃諷淉習﹝

  ﹛﹛髦瑞玸祛堤腔嘛數賦彆桶隴ㄩ忑珂ㄛ扂弊踢庈部歙峈瑞玸喳僻腔噱怀堤源ㄛ奧垀衄粽夤冪撳窒藷歙峈瑞玸喳僻腔噱怀源ㄛ眈勤衾俋颯庈部ㄛ埭衾嘖庈腔瑞玸喳僻薯僅載湮﹝棒ㄛ價衾雄怓弝褒旮蕉舷踢瑞玸祛堤迵粽夤蛹醱毀嚏虴茼腔膝輛栳曹ㄛ楷珋髦耀倰夔劂袧妎梗2008爛弊暱踢峉儂﹜2015爛笢弊※嘖婐§﹜2016爛※剿儂秶§堤怢脹瑞玸岈璃﹝

  ﹛﹛秪赽崝嫘砃講赻隙寥耀倰腔煦昴賦彆寀輛珨祭珆尨ㄛ※笭湮嘖婐§奀ㄛ踢瑞玸勤祥肮粽夤曹講腔撿极荌砒湔婓珆翍船祑﹝

  ﹛﹛掛恅岆炵苀俶踢瑞玸旃噶鍰郖腔珨棒衄祔阹桯睿郭彸﹝蔚詢棒腔踢庈部杅擂迵腴棒腔粽夤杅擂輛俴衄儂腔賦磁ㄛ旮阼橢踢杅擂唗蹈垀婦漪腔詢陓洘ㄛ蔚衄翑衾扂蠅賦磁笢弊妗暱冪撳沭璃ㄛ衄虴淢梗粽夤妗极冪撳迵踢庈部腔換壽炵迵釬蚚儂秶ㄛ峈俇囡迵詢窐講楷桯猁眈巠茼腔粽夤覃諷极炵枑鼎衄渀勤俶腔砩獗睿膘祜﹝肮奀ㄛ掛恅珩峈髦源楊婓踢悝旃噶笢腔茼蚚芢嫘ㄛ眕摯芢雄炵苀俶踢瑞玸迵粽夤冪撳換旃噶腔帤懂楷桯枑鼎賸質牖﹝

  ﹛﹛ㄗ釬氪等弇ㄩ笢刓湮悝鍛鰍悝埏﹝▲笢弊扦頗褪悝歎◎2020爛菴12ㄛ笢弊扦頗褪悝厙 蒩踮/晡ㄘ

  厙桴掘偶瘍ㄩ涳ICP掘09003598瘍痐芘訧訰戙督昢枑鼎ㄩ涳蔬肮豪佼堁璃衄癹鼠侗 ㄗ笢弊痐潼頗瞄楷痐抎晤瘍ㄩZX0050ㄘ