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基于随机波动模型的沪深股市波动分析--以06，07年度沪深股指为例 被引量：4

Volatility Analysis of Chinese Stock Market by Stochastic Volatility Model with 2006 and 2007′s Data
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摘要 基于马尔科夫链蒙特卡罗(MCMC)模拟的贝叶斯(Bayes)分析方法,应用随机波动(SV)模型实证分析06、07年度中国股票市场指数的波动性,并对比沪市与深市的股指,对不同形式的SV模型的参数进行估计,对结论作出合理的解释. Markov Chin Monte Carlo （MCMC） based Bayesian method analysis the Stochastic Volatility （SV） models using stock indexes of China in 2006 and 2007. Parameters of Five models expected to stock indexes are estimated by Gibbs sampling, and models help to understand stock market of China.
作者 马国栋 吴喜之
机构地区 中国人民大学统计学院
出处 《数学的实践与认识》 CSCD 北大核心 2008年第20期63-71,共9页 Mathematics in Practice and Theory
基金 国家自然科学基金项目(10431010) 教育部重点基地重大项目(05JJD910001) 中国人民大学应用统计中心的支持
关键词 随机波动(SV)模型 Gibss抽样 MCMC stochastic volatility models gibbs sampling MCMC
分类号 F832.51 [经济管理—金融学] F224 [经济管理—国民经济]
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参考文献14

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  • 2Taylor S J. Financial returns modeled by the product of two stochastic processes-a study of the daily suger prices, In Anderson O. D. Editor. “Times Series Analysis :Theory and Practice,1”[M]. North-Holland Amsterdam.
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同被引文献30

  • 1刘凤芹,吴喜之.随机波动模型参数估计的新算法及其在上海股市的实证[J].系统工程理论与实践,2006,26(4):27-31. 被引量：8
  • 2Engle,R E. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation[J]. Econometrica, 1982, 50:987-1008.
  • 3Bollerslev, T. Generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1986, 31:307-327.
  • 4Taylor, S. J. Financial returns modeled by the product of two stochastic processes-a study of the daily sugar prices, Time Series Analysis: Theory and Practice [M]. North-Holland: Amsterdam Press,1982:203-226.
  • 5Zhang Shi-ying, Fan Zhi. Cointegration Theory and Volatility Models: Financial Time Series Analysis and Application [ M ] Beijing:Tsinghua University Press, 2004:308-322.
  • 6Christian P. Robert, George Casella. Monte Carlo Statistical Mothods [M]. New York :Springer-Verlag Press, 1999:203-245.
  • 7Spiegelhalter, D. J Thomas, A. Best, N. G., Gilks, W. R. BUGS 0.5 Bayesian inference using Gibbs sampling [M]. UK.Cambridge: MRC Biostatistics Unit Press, 1996:101-135.
  • 8Kim, S., Shephard, N., Chib, S. Stochastic volatility: likelihood inference and comparison with ARCH models[J]. Review of Economic Studies , 1998, 65:PP361-393.
  • 9Engle R E. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation[J]. Econometrica, 1982, 50: 987-1008.
  • 10Bollerslev, T. Generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1986, 31: 307-327.

引证文献4

二级引证文献10

数学的实践与认识
2008年 第20期

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