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价格持续期的SEMIFAR-ACD模型 被引量：2

The SEMIFAR-ACD Model for the Price Duration
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摘要 本文提出了一类同时包含确定性,差分平稳以及平稳长相关趋势的描述交易价格持续期新模型——SEMIFAR-ACD模型。研究了模型的估计方法和各估计量的渐近性质,构建了相应的估计算法,并应用实际数据,将SEMIFAR-ACD模型与普通ACD模型模拟效果进行比较,论证了SEMIFAR-ACD模型更好的描述数据的性能。 A new type of model has been proposed in this paper, which includes deterministic trends, difference stationary and stationary with long-range dependence trend and is named as SEMIFAR-ACD model. This model is used for modeling the price duration. In this paper we have discussed the estimation of parameter, analyzed the property of estimator and designed an efficient algorithm for this model. Contrasting to the usual ACD model, SEMIFAR-ACD has advantages in modeling the duration of price series.
作者 刘洪 王江涛
机构地区 中南财经政法大学统计与数学学院 中国统计教育学会 全国工业统计教学研究会 南方经济统计研究会 武汉市统计学会 华中师范大学经济与工商管理学院
出处 《统计研究》 CSSCI 北大核心 2015年第1期88-94,共7页 Statistical Research
关键词 SEMIFAR-ACD模型 差分平稳趋势 价格持续期 SEMIFAR-ACD Model Difference Stationary Trend Price Duration
分类号 O212 [理学—概率论与数理统计]
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参考文献13

  • 1Engle, R.F., Rusell, J.R., Auto-regressive conditional duration: a new model for irregular spaced transaction Date [J]. Econometrics, 1998,36 : 1127 - 1162.
  • 2Bauwens L , Giot, P. , The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks [J]. Annalesd' Econometric et de Statistic, 2000, 60 : 117 - 150.
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二级参考文献9

  • 1Engle, R. F., Russell, J. R. Autoregressive conditional duration: A new model for irregularly-spaced transaction data[J]. Econometrica 66, 1998a: 1127-1162.
  • 2Bauwens, L., Giot,. The logarithmic ACD model:An application to the bid-ask quote process of three NYSE stocks [ J ]. Annalesd' Economieet de Statistique, 2000 (60) : 117-150.
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  • 6Zhang, M. Y., Russell, J. R., Tsay, R. S. A nonlinear autoregressive conditional duration model with applications to financial transaction data[J]. Journal of Econometrics,2001 (104) : 179-207.
  • 7Drost, F., Werker, B. J. M. Semiparametric duration models[J]. forthcoming in Journal of Business and Economic Statistics, 2004 (22) : 40-50.
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  • 9Fernandes, M., Grammig, J. Nonparametric specification tests for conditional duration models[C]. Graduate School of Economics. Getulio Vargas Foundation, 2003.1-25.

共引文献8

同被引文献24

引证文献2

二级引证文献7

统计研究
2015年 第1期

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