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金融时序波动性和时变相关性分析 被引量:2

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摘要 波动性和相关性分析是金融领域定量分析的基础,广泛用于投资组合选择、资产分配以及风险管理之中。本文采用多变量波动性模型来估计波动性和相关性,并就中国沪深股市收益数据加以实证分析,我们得到上证指数和深圳成指的日对数收益存在高度正相关和具有显著的时变相关性,且波动性的估计和预测较之于单变量情形时有较好的改善。
出处 《上海经济研究》 CSSCI 北大核心 2006年第12期70-75,共6页 Shanghai Journal of Economics
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参考文献7

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二级参考文献18

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共引文献46

同被引文献34

  • 1郭名媛,张世英.赋权已实现波动及其长记忆性,最优频率选择[J].系统工程学报,2006,21(6):568-573. 被引量:26
  • 2郑振龙,张蕾.中国主要股指收益相关性研究[J].厦门大学学报(哲学社会科学版),2007,57(3):35-39. 被引量:8
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  • 10周义,李梦玄.基于MGARCH模型的不同股票市场波动相关性研究[J].北方经贸,2007(8):119-121. 被引量:2

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