分整、协整及时变波动建模理论新进展——兼论诺贝尔经济学奖得主Granger和Engle的工作

New Developments in Fractional Integration,Cointegration and Timing-Varying Volatility Modeling Theory:Review of the Contribution of the Nobelists Granger and Engle

综合分析近20年来经济计量建模理论在分数维长记忆时间序列的分析建模、协整(同积)理论的建立以及刻画经济金融波动的时变条件异方差过程的分析建模三个方面发生的重要变化以及在这些领域,Granger和Engle做出的极其重要贡献,并提出新的发展方向和领域。

The developments of long-memory time series modeling,cointegration theory and time-varying volatility modeling in the last twenty years are summarized, and the contribution of Nobelists Granger and Engle are also reviewed. At the same time, the new research directions and areas are pointedout.