期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

一种新的时间序列模型的严平稳遍历性 被引量：1

On the Strictly Stationary Property and the Ergodicity of a new time series Model
下载PDF
导出
摘要 本文讨论了一个AGARCH模型的严平稳遍历性,并给出了该模型有唯一平稳遍历解的充要条件. We discuss the strictly stationary property and the ergodicity of a new Model for an asymmetric general autoregressive Conditional Hereroskedasicity in the paper, and give the sufficient and necessary condition for its a unique strictly stationary ergodic solution.
作者 潘保国
机构地区 湖南科技学院数学系
出处 《湖南科技学院学报》 2006年第11期120-123,共4页 Journal of Hunan University of Science and Engineering
关键词 AGARCH 严平稳性 遍历性 AGARCH strict stationarity ergodicity
分类号 O211.6 [理学—概率论与数理统计]
  • 相关文献

参考文献6

  • 1Bollerslev T.Generalized Autoregressive Conditional Hereroskedasicity[J].Journal of Economentrica.1986,31:307-327.
  • 2Engle R F.Autoregressive Conditional Hereroskedasicity with Estimate of the Variance of U.K.Inflation[J].Journal of Economentrica.1982,50:987-1008.
  • 3刘继春.一个非对称GARCH模型的严平稳遍历性[J].厦门大学学报（自然科学版）,2003,42(2):153-156. 被引量：1
  • 4P.Bougerol.Kalman filtering with random coefficients and contractions.SIAM J.Contol Optim,31:942-959,1993.
  • 5H.Kesten and F.Spitzer.Convergence in distribution of products of random matrices.Z.Wahrsch..Verw.Gebiete,67:363-386,1984.
  • 6吴硕思,方兆本.非对称广义自回归条件异方差的新模型[J].应用概率统计,2000,16(4):416-422. 被引量：8

二级参考文献14

  • 1王梓坤.随机过程论[M].北京:科学出版社,1978..
  • 2[1]Berndt,E.K.,Hall,B.H.,Hall,R.E.and Hausman,J.A.,Estimation inference in nonlinear structural models,Annals of Economic and Social Measurement,4(1974),653-665.
  • 3[2]Black,F.,Studies in stock price volatility changes,Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section,American Statistical Association,1976,177-181.
  • 4[3]Bollerslev,T.,Generalized autoregressive conditional heteroskedasticity,Journal of Econometrics,31(1986),307-327.
  • 5[4]Christie,A.,The stochastic behavior of common stock variance: value,leverage and interest rate effects,Journal of Financial Economics,10(1982),407-432.
  • 6[5]Engle,R.F.,Autoregressive conditional heteroskedasticity with estimates of the variance of U.K.inflation,Econometrica,50(1982),987-1008.
  • 7[6]Fama,E.F.,The behavior of stock market prices,Journal of Business,38(1965),34-105.
  • 8[7]French,K.,Schwert,G.W.and Stambaugh,R.,Expected stock returns and volatility,Journal of Financial Economics,19(1987),3-29.
  • 9[8]Gourieroux,C.,ARCH Models and Financial Applications,Springer-Verlag New York,Inc.,New York,1997.
  • 10[9]Mandlebroit,B.,The variation of certain speculative prices,Journal of Business,36(1963),394-419.

共引文献7

同被引文献6

  • 1Bollerslev T.Generalized Autoregressive Conditional Hereroskedasicity[J].Journal of Economentrica.1986,31:307-327
  • 2Engle R F.Autoregressive Conditional Hereroskedasicity with Estimate of the Variance of U.k Inflation[J].Journal of Economentrica.1982,50:987-1008
  • 3P.Bougerol.Kalman filering with random coefficients and contractions[J].SIAM J.Contol Optim,31:942-959,1993
  • 4H.Kesten and F.Spitzer.Convergence in distribution of products of random matrices[J].Z.Wahrsck Verw.Gebiete,67:363-386,1984
  • 5吴硕思,方兆本.非对称广义自回归条件异方差的新模型[J].应用概率统计,2000,16(4):416-422. 被引量：8
  • 6姚伟杰,刘继春,李正开.非对称稳定幂GARCH的严平稳性与解的唯一性[J].数学研究,2003,36(4):401-406. 被引量：1

引证文献1

湖南科技学院学报
2006年 第11期

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