Вы искали: autoregressive (Испанский - Английский)

en ese caso, se habla de un modelo sarima ("seasonal autoregressive integrated moving average").
for example, an arima(0,1,0) model (or i(1) model) is given by:formula_19—which is simply a random walk.

« asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models » , por g. coenen , enero 2000 .
9 « asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models » , by g. coenen , january 2000 .

== Áreas de trabajo ==*desarrollo de estrategias de "trading"*optimización de carteras de inversión*fijación de precios de derivados y "hedging"*gestión de riesgos:*análisis de crédito==publicaciones seminales==*1900 - louis bachelier, "théorie de la spéculation"*1952 - harry markowitz, "portfolio selection" (teoría de portafolio)*1956 - john larry kelly, "a new interpretation of information rate"*1967 - edward o. thorp y sheen kassouf, "beat the market"*1972 - eugene fama y merton miller, "theory of finance"*1973 - fischer black y myron scholes, "the pricing of options and corporate liabilities" y robert c. merton, "theory of rational option pricing" (black–scholes)*1976 - fischer black, "the pricing of commodity contracts" (black model)*1977 - phelim boyle, "options: a monte carlo approach", métodos de monte carlo para fijación de precios de opciones*1977 - oldrich vasicek, "an equilibrium characterisation of the term structure" (modelo de vasicek)*1980 - lawrence g. mcmillan, "options as a strategic investment"*1982 - barr rosenberg y andrew rudd, "factor-related and specific returns of common stocks: serial correlation and market inefficiency’', journal of finance, mayo de 1982 v. 37: #2*1982 - robert engle "autoregressive conditional heteroskedasticity with estimates of the variance of u.k. inflation"*1985 - john c. cox, jonathan e. ingersoll y stephen ross, "a theory of the term structure of interest rates", modelo cox–ingersoll–ross*1988 - john hull, "options, futures, and other derivatives"*1990 - fischer black, emanuel derman y william toy, "a one-factor model of interest rates and its application to treasury bond", modelo black-derman-toy*1992 - fischer black y robert litterman: global portfolio optimization, financial analysts journal, septiembre 1992, pp.
*1952 - harry markowitz, "portfolio selection", modern portfolio theory*1956 - john kelly, "a new interpretation of information rate"*1967 - edward o. thorp and sheen kassouf, "beat the market"*1972 - eugene fama and merton miller, "theory of finance"*1973 - fischer black and myron scholes, "the pricing of options and corporate liabilities" and robert c. merton, "theory of rational option pricing", black–scholes*1976 - fischer black, "the pricing of commodity contracts", black model*1977 - phelim boyle, "options: a monte carlo approach", monte carlo methods for option pricing*1977 - oldrich vasicek, "an equilibrium characterisation of the term structure", vasicek model*1980 - lawrence g. mcmillan, "options as a strategic investment"*1982 - barr rosenberg and andrew rudd, "factor-related and specific returns of common stocks: serial correlation and market inefficiency", journal of finance, may 1982 v. 37: #2*1982 - robert engle "autoregressive conditional heteroskedasticity with estimates of the variance of u.k. inflation," seminal paper in arch family of models garch*1985 - john c. cox, jonathan e. ingersoll and stephen ross, "a theory of the term structure of interest rates", cox–ingersoll–ross model*1990 - fischer black, emanuel derman and william toy, "a one-factor model of interest rates and its application to treasury bond", black-derman-toy model*1991 - ioannis karatzas & steven e. shreve.