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ACD模型及其扩展——金融高频数据计量模型的新动态 被引量:6

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摘要 本文结合高频数据所表现出的独有特征系统地回顾了近年ACD(Autoregressive Con-ditional Duration)模型及其扩展在国际、国内的发展状况,展望了该模型的发展方向。
作者 鲁万波
出处 《统计与决策》 CSSCI 北大核心 2005年第10X期7-9,共3页 Statistics & Decision
基金 国家社科基金资助项目(01BTJ003) 西南财经大学科研基金资助项目(05Z37)
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参考文献7

  • 1Engle, R. F., Russell, J. R.. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model[J].Journal of Empirical Finance,1997, (4):187-212.
  • 2Bauwens, L., Giot, P.. The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks[J].Annales d'Economieet de Statistique, 2000, 60:117-150.
  • 3Zhang, M. Y., Russell, J. R., Tsay, R. S.. A nonlinear autoregressive conditional duration model with applications to financial transaction data[J]. Journal of Econometrics, 2003, 104:179-207.
  • 4Bauwens, Giot, Gramming and Veredas. A comparison of financial duration models through density forecasts [J].International Journal of Forecasting, 2000, 20:589-609.
  • 5Bauwens, Giot, Asymmetric ACD models: introducing price information in ACD models with a two state transition model[J]. Empirical Economics,2002,28(4):709-731.
  • 6陈敏,王国明,吴国富,蒋学雷.中国证券市场的ACD-GARCH模型及其应用[J].统计研究,2003,20(11):60-62. 被引量:25
  • 7蒋学雷,陈敏,王国明,吴国富.股票市场的流动性度量的动态ACD模型[J].统计研究,2004,21(4):42-44. 被引量:13

二级参考文献12

  • 1Engle, R F, and Russell, J R.1997. Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Condtional Duration Model. Journal of Empirical Finance,4,187-212.
  • 2Engle, R F, and Russell, J R. 1998. Autoregressive conditional duration: A new model for irregular spaced transaction data. Econometrica 66(5 ) : 1127 -1162.
  • 3Engle, R F. 2000. The econometrics of ultra-high frequency data. Econometrica 68( 1 ), 1-22.
  • 4Zhang M Y ,Jeffrey R,Russell ,and Ruey S Tsay,2001 .A nonlinear autoregressive conditional duration model with applications to financial transaction data. Journal of Econometrics 104,179-207.
  • 5Xu C K. 2000. The microstructure of the Chinese stock market. China Economic Review 11,79- 97.
  • 6Xu C. K., 2000. The microstructure of the Chinese stock market. China Economic Review 11,79 - 97.
  • 7Madhavan, A., 2000. Market microstructure: a survey. Journal of Financial Markets 3,205 - 208.
  • 8Engle, R. F., and Russell, J. R, 1997. Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model. Journal of Empirical Finance,4,187 - 212.
  • 9刘狄.<如何衡量流动性:理论与文献综述>[J].<上证研究,2:115-137.
  • 10欧阳红兵,熊彩云.证券市场微观结构理论及中国股票市场的相关问题[J].南方经济,2000,29(2):62-64. 被引量:5

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