期刊文献+

自回归条件持续期(ACD)模型研究 被引量:2

下载PDF
导出
摘要 本文介绍了关于在高频金融计量经济学中时间序列的自回归条件持续期模型,并综合目前的几种研究方法,对其应用现状作了简要的概述。
出处 《统计与决策》 CSSCI 北大核心 2006年第12期39-40,共2页 Statistics & Decision
基金 湖北省自然科学基金(2004ABA038)
  • 相关文献

参考文献4

二级参考文献27

  • 1[1]Andersen.T.and Bollerslev.T.,Diebold.F.And Lebys.P.,1999,The Distribution of Exchange Rate Volatility,working paper,NBER.
  • 2[2]Andersen.T.and Bollerslev.T.,1998b,Answering The Skeptics:Yes Standard Volatility Models to Provide Accurate Forecasts,International Economic Review.39,P885~905.
  • 3[3]Ann.N.,BAE.F.,and Chan.R.,2001,Limit Orders,Depth,and Volatility:Evidence from the Stook Exchange of Hong Kong,J.of Fin.,VLVI(2),P767~788.
  • 4[4]Bai.X,Rusell.J.and Tiao.G,2000,Beyond Merton' s Utopian:Effects of Dependence and Non-normality on Variance Estimates Using High-Frequency Data,working paper,UC.
  • 5[5]Bai.X,Rusell.J.and Tiao.G,2000,Kurtosis of GARCH and Stochastic Volatility Models,working paper,UC.
  • 6[6]Bollenslev.T,2001,Financial Econometrics:past development and future challenges,J.of Econometrics,100,P41~56.
  • 7[7]Campbell J.and Shiller.R,1998a,the Dividend-price Rational Expectations of Future Dividends and Discount Fator,Rev.of Ein Stud.,1,P357~386.
  • 8[8]Campbell J.and Shiller.R,1998b,Stock Prices,Earnings and Expected Dividends,J.of Fin,43,P661~676.
  • 9[9]Campbell J.,1999,Asset Price,Consumption,and The Business Cycle,In John Taylor and Richard wood ford eds:Handbook of Marcoeconomics,Vol 1,North-Holland,Amsterdasm.
  • 10[10]Chui Andy,Sheridan Titman,and K.c.Wei,2000,Momentum,Ownership,structure and Financial Crises:An Analysis of Asian Stock Markets,working paper,PKU

共引文献38

同被引文献7

引证文献2

二级引证文献8

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部