摘要
本文运用分数差分的方法研究了亚太地区主要股票市场的日股票价格.根据数据特征,我们运用了Robinson(1994)年提出的检验统计量的一种特殊形式对金融数据的单位根和不稳定性进行检验.结果证明,该地区股票价格长记忆行为各不相同但十分相似.
In this article,we examine the daily structure of stock price indices in the major stock markets in Asia-Pacific area using fractional integrated techniques.According to the long memory characteristics of the data,a particular version of Robinson＇s （1994） test is proposed for testing unit roots and non-stationarity in the financial data.The results show that the long memory behavior of the stock price indices in this region is different but quite similar.
出处
《应用概率统计》
CSCD
北大核心
2011年第4期435-443,共9页
Chinese Journal of Applied Probability and Statistics
基金
supported by the Fundamental Research Funds for the Central Universities
关键词
单位根检验
股票价格指数
长记忆
随机过程
Unit root test
stock price index
long memory
stochastic process.
