文件名称:ProcessesFinance
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- 上传时间:2015-05-02
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文件大小:4.69mb
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Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
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下载文件列表
Matlab/01RandomWalk/Empirical/db_Equities.mat
Matlab/01RandomWalk/Empirical/IIDAnalysis.m
Matlab/01RandomWalk/Empirical/S_Equities.m
Matlab/01RandomWalk/Empirical/TwoDimEllipsoid.m
Matlab/01RandomWalk/Theory/IG.m
Matlab/01RandomWalk/Theory/JumpDiffusionKou.m
Matlab/01RandomWalk/Theory/JumpDiffusionMerton.m
Matlab/01RandomWalk/Theory/NIG.m
Matlab/01RandomWalk/Theory/S_LevyProcesses.m
Matlab/01RandomWalk/Theory/Schout2ConTank.m
Matlab/01RandomWalk/Theory/VG.m
Matlab/02Autocorrelation/DB_SwapParRates.mat
Matlab/02Autocorrelation/FitOU.m
Matlab/02Autocorrelation/S_MAIN.m
Matlab/03LongMemory/Empirical/AnalyzePersistence.m
Matlab/03LongMemory/Empirical/AnalyzeVarianceAggregation.m
Matlab/03LongMemory/Empirical/DB_SwapParRates.mat
Matlab/03LongMemory/Empirical/FilterJumps.m
Matlab/03LongMemory/Empirical/PlotAggregationVariance.m
Matlab/03LongMemory/Empirical/PlotSeries.m
Matlab/03LongMemory/Empirical/S_AnalyzeSingleRate.m
Matlab/03LongMemory/Theory/ffgn.m
Matlab/03LongMemory/Theory/S_FractionalBM.m
Matlab/04VolatilityClustering/Empirical/DB_IBM.mat
Matlab/04VolatilityClustering/Empirical/IIDAnalysis.m
Matlab/04VolatilityClustering/Empirical/S_VolClustering.m
Matlab/04VolatilityClustering/Empirical/TwoDimEllipsoid.m
Matlab/04VolatilityClustering/Theory/GARCH/S_GARCH.m
Matlab/04VolatilityClustering/Theory/StochasticVol/S_Heston.m
Matlab/04VolatilityClustering/Theory/Subordination/S_SubordinationCIR.m
Matlab/ReadMe.txt
license.txt
Matlab/01RandomWalk/Empirical/IIDAnalysis.m
Matlab/01RandomWalk/Empirical/S_Equities.m
Matlab/01RandomWalk/Empirical/TwoDimEllipsoid.m
Matlab/01RandomWalk/Theory/IG.m
Matlab/01RandomWalk/Theory/JumpDiffusionKou.m
Matlab/01RandomWalk/Theory/JumpDiffusionMerton.m
Matlab/01RandomWalk/Theory/NIG.m
Matlab/01RandomWalk/Theory/S_LevyProcesses.m
Matlab/01RandomWalk/Theory/Schout2ConTank.m
Matlab/01RandomWalk/Theory/VG.m
Matlab/02Autocorrelation/DB_SwapParRates.mat
Matlab/02Autocorrelation/FitOU.m
Matlab/02Autocorrelation/S_MAIN.m
Matlab/03LongMemory/Empirical/AnalyzePersistence.m
Matlab/03LongMemory/Empirical/AnalyzeVarianceAggregation.m
Matlab/03LongMemory/Empirical/DB_SwapParRates.mat
Matlab/03LongMemory/Empirical/FilterJumps.m
Matlab/03LongMemory/Empirical/PlotAggregationVariance.m
Matlab/03LongMemory/Empirical/PlotSeries.m
Matlab/03LongMemory/Empirical/S_AnalyzeSingleRate.m
Matlab/03LongMemory/Theory/ffgn.m
Matlab/03LongMemory/Theory/S_FractionalBM.m
Matlab/04VolatilityClustering/Empirical/DB_IBM.mat
Matlab/04VolatilityClustering/Empirical/IIDAnalysis.m
Matlab/04VolatilityClustering/Empirical/S_VolClustering.m
Matlab/04VolatilityClustering/Empirical/TwoDimEllipsoid.m
Matlab/04VolatilityClustering/Theory/GARCH/S_GARCH.m
Matlab/04VolatilityClustering/Theory/StochasticVol/S_Heston.m
Matlab/04VolatilityClustering/Theory/Subordination/S_SubordinationCIR.m
Matlab/ReadMe.txt
license.txt
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