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金融资产波动性特征研究回顾 被引量：2

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摘要 Bachelier(1900)运用赌博的方法研究证券价格的特征，提出证券价格遵循随机游走，即布朗运动(Brownian Motion)。从此，对金融资产价格形成机制的研究成为整个金融学的焦点，产生了一系列辉煌的理论：市场有效性理论，市场均衡理论，资本资产定价理论以及期权定价理论等。在金融市场上，投资者需要估计资产的风险期望收益率，
作者 王明照 郭冰
机构地区 同济大学经济与管理学院
出处 《经济学动态》 CSSCI 北大核心 2005年第1期76-81,共6页 Economic Perspectives
关键词 证券价格 金融市场 金融资产价格 资本资产定价 期望收益率 市场有效性理论 市场均衡 布朗运动 估计 焦点
分类号 F830 [经济管理—金融学] F832 [经济管理—金融学]
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参考文献17

  • 1Andersen, T.G. & B.E.Serensen, 1997, GMM and QML asymptotic standard deviations in stochastic volatility models:Comments on Ruiz 1994, Journal of Econometrics 76:397- 403.
  • 2Baillie, R.T., 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics 73:5-59.
  • 3Bolletslev, T., 2001, Financial econometrics; past developments and future challenges. Journal d Econometrics 100:41 - 51.
  • 4Danielsson, J., 1994, Stochastic volatility in asset prices: Estimarion with simulated maximum likelihood, Jonmal of Econometrics 61:375 -400.
  • 5Farmer,J.D., 1999, Physicists attempt to scale the ivory towers of finance, Computing in Science & Engineering 6:26 - 39.
  • 6Gallant, A.R., D.Hsieh & G.Tauchen, 1997, Estimation of stochastic volatility models with diagnostics , Journal of Econometrics 81 : 159 - 192.
  • 7Gopikrishnan, et al., 2000, Scaling and correlation in financial time series, Physica (A) 287:362- 373.
  • 8Harvey, A., et al., 1994, Multivariate stochastic variance models, Review of Economic Studies 61:247- 267.
  • 9Harvey, A. & N.Shephard, 1996, Estimation of an asymmetric stochastic volatility model for asset returns, Journal of Business & Economic Statistics 14:429-434.
  • 10Jacquier, E., N.G.Polson & P.E.Rossi, 1994, Bayesian analysis of stochastic volatility models , Journal of Business & Economic Statistics 12(4) :371 - 388.

二级参考文献21

  • 1J.Campbell, L. Andrew& A. Mackinlay, 1997, The Econometrics of Financial Markets, Princeton Univ. Press.
  • 2I. Karatzas & S. E. Sheve, 1997, Methods of Mathematical Finance, Springer, Berlin- Heidelbarg- New York.
  • 3P. Hunt & J. E. Kennedy, 2000, Financial Derivatives in the Theory and Practice, John Wiley & Sons, LID.
  • 4Duan Jin - chuan, 1995, "The GARCH option pricing model." Math. Fi., 5(1).
  • 5S. Sandarensan, 2001, "Continuous - time methods in finance." working paper, NBBR.
  • 6A.Shleifer, 2000, Inefficient Market: An Introduction to Behavioral Finance, Oxford Univ. Press.
  • 7W.Debondt & R.Thaler, 1985, "Does the stock market overreact?" J. of Fin, XL(3).
  • 8H. Jegadeesh & S.Titman, 1993, "Returns to buying winners and selling loser: Implications for stock market efficiency. " J. of Fin. 48.
  • 9N. Jegadeesh & S. Titman, 2000, "Profitability of momentum strategies: An evaluation of altemative explanations." J. of Fin.
  • 10S. Titman & F. Xie, 2000, "Capital investment and stock returns." working paper, SSRN.

同被引文献26

  • 1虞伟荣,胡海鸥.石油价格冲击对美国和中国实际汇率的影响[J].国际金融研究,2004(12):33-39. 被引量：28
  • 2张汉江,马超群,曾俭华.金融市场预测决策的有力工具:ARCH模型[J].系统工程,1997,15(1):43-46. 被引量：10
  • 3Andersen,T.G.,T.Bollerslev,F.X.Diebold and P.Labys (2001),"Modeling and Forecasting Realized Volatility,"NBER Working Paper No.8160.
  • 4Barndorff-Nielsen,O.E.and N.Shephard (2002),"Econometric Analysis of Realised.Volatility and its Use in Estimating Stochastic Volatility Models," Journal of the Royal Statistical Society,Series B,64,253-280,
  • 5Drost,F.C.and T.E.Nijman (1993),"Temporal Aggregation of GARCH Processes," Econometrica,61,909-927.
  • 6Nijman,T.H.,and E.Sentana (1996),"Marginalization and Contemporaneous A ggregation of Multivariate GARCH Processes," Journal of Econometrics,71,71-86.
  • 7Meddahi,N.and E.Renault (1996),"Aggregation and Marginalization of GARCH and Stochastic Volatility Models," Working paper,Department of Economics,Uni versity of Montreal and CIRANO.
  • 8Meddahi,N.and E.Renault (2004),"Temporal Aggregation of Volatility Models," Journal of Econometrics,119,355-379.
  • 9Heston,S.L.(1993),"A Closed Form Solution for Options with Stochastic Volatility,with Applications to Bond and Currency Options," Review of Financia l Studies,6,327-343.
  • 10Nelson,D.B.(1992),"Filtering and Forecasting with Missp ecified ARCH Models I:Getting the Right Variance with the Wrong Model," Journal of Econometrics,52,61-90.

引证文献2

二级引证文献4

经济学动态
2005年 第1期

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