期刊文献+

上证指数收益率的ARCH族模型的实证分析 被引量:4

下载PDF
导出
摘要 文章利用ARCH族模型,选取2005~2009年的上证综指日收益率作为对象对我国沪市波动情况进行了实证研究。研究结果表明,我国沪市日收益率序列具有明显的聚集性、波动性、尖峰厚尾的特征,ARCH族模型较好的拟合了上证指数收益率序列。
作者 陈志娟
出处 《统计与决策》 CSSCI 北大核心 2010年第17期141-143,共3页 Statistics & Decision
  • 相关文献

参考文献10

二级参考文献53

共引文献109

同被引文献28

  • 1GABAIX X, GOPIKRISHNAN P, PLEROU V, et al. A theory of power-law distributions in financial market fluctuations [ J]. Nature, 2003, 423 (6937) :267-270.
  • 2PLEROU V, GOPIKRISHNAN P, STANLEY H E. Econophysics: two-phase behaviour of financial markets [J]. Nature, 2003, 421(6919):130.
  • 3HUANG N E, SHEN Z, LONG S R, et al. The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis [ J ]. Proceedings : Mathematical, Physical and Engineering Sciences, 1998, 454( 1971 ) :903-995.
  • 4HUANG N E, SHEN Z, LONG S R. A new view of nonlinear water waves: the Hilbert spectrum [ J]. Annual Review of Fluid Mechanics, 1999, 31 ( 1 ) :417-457.
  • 5DUFFY D G. The application of Hilbert-Huang transforms to meteorological datasets [ J ]. Journal of Atmospheric and Oceanic Technology, 2004, 21 (4) :599-611.
  • 6HUANG Y X, SCHMITT F amplitude-frequency study G, LU Z M, et al. An of turbulent scaling intermittency using empirical mode decomposition and Hilbert spectral analysis [ J ]. Europhysics Letters, 2008, 84(4) :40010.
  • 7HUANG N E, WU M L, Qu W, et al. Applications of Hilbert-Huang transform to non-stationary financial time series analysis [ J ]. Applied Stochastic Models in Business and Industry, 2003, 19(3) :245-268.
  • 8YU L, LAI K, WANG S, et al. 0il price forecasting with EMD-based muhiscale neural network learning paradigm [ C ] // The International Conference on Computational Science. 2007:925-932.
  • 9WU Z H, HUANG N E. A study of the characteristics of white noise using the empirical mode decomposition method [ J ]. Proceedings of the Royal Society of London Series A: Mathematical, Physical and Engineering Sciences, 2004, 460 ( 2046 ) : 1597-1611.
  • 10曾志武.国际油价波动:因素分析及对中国经济的影响[D].厦门:厦门大学博士论文,2008.

引证文献4

二级引证文献11

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