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窗宽选择对已实现波动率各种非参数估计的影响分析 被引量:2

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摘要 文章总结了相关性市场噪音对证券价格波动性度量的影响,介绍了现存的波动率各种非参数估计方法的基本思想并讨论它们之间的关系,在此基础上重点分析了窗宽选择对各种估计量的影响,分析结果表明,各种非参数估计的最终结果严格的依赖于窗宽的选择。
作者 刘洪 王江涛
出处 《统计与决策》 CSSCI 北大核心 2014年第9期148-151,共4页 Statistics & Decision
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