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Intertemporal Behavior of Expected Market Returns : Time-Varying and Asymmetry Properties
Kiseok Nam,Chong Soo Pyun,Joshua Krausz 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.05
The intertemporal behavior of expected market returns is not only driven by predictable market volatility, but also by unexpected volatility changes. Most of the empirical literature ignores the effects of unexpected volatility changes on the intertemporal relation; consequently, the previous empirical results suffer from the omitted variable bias. With the effects of a volatility shock incorporated in the estimation, we find a strong positive intertemporal relation. We also find that the quicker reversion of a negative return is attributable to a negative intertemporal relation. We interpret this negative intertemporal relation under a negative return shock as a reflection of strong optimistic expectations by investors on the future performance of stock prices.
Fattahi, Hanieh,Schwarz, Alexander,Geng, Xiao Tao,Keiber, Sabine,Kim, Dong Eon,Krausz, Ferenc,Karpowicz, Nicholas Optical Society of America 2014 Optics express Vol.22 No.25
<P>The dynamics of chirped pulse amplification in thin-disk regenerative amplifiers relevant to the pumping of optical parametric chirp pulse amplification systems are described. It is shown that the suitability for reproducible pumping of subsequent nonlinear processes requires a balance between the demands of avoiding chaotic pulse train dynamics and providing a reproducible spectral phase. We describe measures that may be taken to ensure that a laser system operates in the desired stable regime.</P>