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

多维波动模型的因果关系分析 被引量：1

Analysis of Causality in Multivariate Volatility Models
下载PDF
导出
摘要 在Comte等关于二阶(非)因果关系的基础上,探讨了FF-GARCH模型、(G)O-GARCH模型、Hadamard乘积GARCH模型的波动(非)因果关系条件,为更好理解所得结论,给出了二维情况下的表达。同时,对多维SV模型也进行了分析。 In this paper, we study the conditions of no existing causal relationship about FF-GARCH model, （G）O-GARCH models, Hadamard product GARCH model, and especially, for the sake of under- standing these conditions, also pay attention to those bivariate case based on Comte and Lieberman＇s work. In addition, we discuss the conditions of multivariate stochastic variance （SV） model. All conclusions aboveare helpful for understanding the machine of financial market volatility.
作者 杜子平 张维
机构地区 天津大学管理学院
出处 《系统管理学报》 北大核心 2007年第2期156-159,共4页 Journal of Systems & Management
基金 国家自然科学基金资助项目(70471051 70471062) 中国博士后科学基金资助项目(2004035520) 天津科技大学引进人才基金资助项目
关键词 因果关系 GARCH模型 SV模型 causality GARCH model stochastic variance model
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献10

  • 1[1]Granger C W J.Some aspects of causal relationships[J].Journal of Econometrics,2003,112:69-71.
  • 2[2]Granger C W J.Some recent developments in a concept of causality[J].Journal of Econometrics,1988,39:119-211.
  • 3[3]Boudjellaba H,Dufour J M,Roy R.Testing causality between two vectors in multivariate autoregressive moving average models[J].J Am stat Assoco,1987(420):1082-1090.
  • 4[4]Comte F,Lieberman O.Second-order noncausality in multivariate GARCH processes[J].Journal of Time Series Analysis,2000,21(5):535-557.
  • 5[5]Hafner C M,Horwartz H.Testing for causality in variance using multivariate GARCH models[R].Working paper.Christian Albrechts University,Department of Economics,2004.
  • 6[6]Cheung Y W,Ng L K.A causality in variance test and its application of financial market prices[J].J Economet,1996,72,429-446.
  • 7[7]Bauwens L,Laurent S,Rombouts J V K.Multivariate GARCH models:A survey[R].Core Discussion Paper Department of Economics,Universite Catholique de Louvain,Belgium.2004.
  • 8[8]So M K P,Lam W K.Multivariate modeling of the autoregressive random variance process[J].Journal of Time Series Analysis,1997:33-48.
  • 9杜子平,张世英.SV模型的聚合及其边际化研究[J].系统工程理论方法应用,2002,11(2):173-176. 被引量：4
  • 10朱宏泉,卢祖帝,汪寿阳.中国股市的Granger因果关系分析[J].管理科学学报,2001,4(5):7-12. 被引量：66

二级参考文献21

  • 1[1]Drost F C, Nijiman T E. Temporal aggregation of GARCH processes[J]. Econometrica,1993,64(4):909-927.
  • 2[2]Meddahi N, Renault E. Temporal aggregation of volatility models[R]. Economics Department of Montreal University, Canada: Working Paper,2000.1-42.
  • 3[3]Sentana E, Nijiman T. Marginalization and contemporaneous aggregation in multivariate GARCH processes[J]. Journal of Econometrics,1996,71:71-89.
  • 4[4]Taylor S J. Modelling financial time series[M]. New York: Wiley,1986.
  • 5[5]Harvey A, Ruiz E, Shephard N. Multivariate stochastic variance models[J]. Review of Economic Studies,1994,61:247-264.
  • 6[6]So M K, Li W K, Lam K. Multivariate modeling of the autorgressive random variance process[J]. Journal of Time Series Analysis,1997,18(4):429-446.
  • 7[7]Ansley C F, Spivey W A, Wrobleski W J. On the structure of moving average processes[J]. Journal of Econometrics,1977,6:121-134.
  • 8[8]Lutkepohl H. Linear transformation of vector ARMA processes[J]. Journal of Econometrics,1984,26:283-293.
  • 9[9]Anderson T W. Statistical analysis of time series[M]. New York: John Wiley and Sons,Inc,1971.
  • 10[10]Amemiya T, Wu R Y. The effect of aggregation on prediction in the autoregressive model[J]. Journal of American Statistical Association,1972,67:628-632.

共引文献68

同被引文献35

引证文献1

二级引证文献2

系统管理学报
2007年 第2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