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基于EGARCH模型的交易所国债市场波动性分析

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摘要 国债是固定收益证券,以“稳定剂”著称,国债市场的风险往往被忽略。本文利用EGARCH模型族衡量交易所国债市场的波动性,进而测度其风险,并分析了国债波动性的原因,最后针对交易所国债市场的相关利益主体提出建议。
作者 徐为民 李根
出处 《海南金融》 2007年第3期42-44,共3页 Hainan Finance
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