主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (4): 12-17.

• 论文 • 上一篇    下一篇

股市波动长记忆性聚合效应的半参数检验

何建敏1, 赵巍2   

  1. 1. 东南大学经济管理学院 江苏 南京 210096;
    2. 淮海工学院商学院 江苏 连云港 222001
  • 收稿日期:2007-12-28 修回日期:2008-07-29 出版日期:2008-08-31 发布日期:2008-08-31
  • 作者简介:何建敏(1956- ),男(汉族),江苏无锡人,东南大学经济管理学院副院长,教授,博导,研究方向:金融工程.
  • 基金资助:

    国家自然科学基金资助项目(70671025)

The Semiparametric Test for Aggregated Effect of Long Memory Property in Stock Markets Volatility

HE Jian-min1, ZHAO Wei2   

  1. 1. School of Economics and Management, Southeast University, Nanjing 210096, China;
    2. School of Business, Huaihai Institute of Technology, Lianyungang 222001, China
  • Received:2007-12-28 Revised:2008-07-29 Online:2008-08-31 Published:2008-08-31

PDF (PC)

1380

被引次数

18

摘要： 本文基于半参数估计方法,从两个方面研究了股市波动长记忆性的聚合问题:一方面,首先将股指收益序列转换为波动序列,再考虑波动序列聚合后的长记忆性;另一方面,首先对股指收益序列进行聚合,再考虑聚合序列波动的长记忆性。前者考察的是波动序列中长记忆参数的聚合性,后者考察的是数据频率对波动长记忆参数的影响。从我国股市实际出发,并综合两个方面考虑,实证了股市波动长记忆性聚合不变效应的存在,同时也说明了半参数方法的良好效果。

关键词: 波动, 长记忆性, 聚合, 高频

Abstract: Based on semiparametric methods,the aggregation effect of long memory property in stock markets volatility has been researched from two aspects:On one hand,stock returns are aggregated firstly, then the long memory property of aggregated series is considered;on the other hand,stock returns are convened to volatility series firstly,then the long memory property of aggregated volatility series is considered.The former considers the aggregated property of long memory parameter in volatility series,whilte the latter studies the influence of data frequency on long memory parameter in volatility.Starting from the real situation of Chinese stock markets andintegrated consideration of the two facts,the aggregation invariant effect of long memory property is found in volatility,which can also show the good effect of semiparametric methods.

Key words: volatility, long memory property, aggregated effect, high frequency

中图分类号: