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| 改进的函数系数自回归建模方法对上海股市实证分析 | |
| 引用本文： | 惠军,武志辉,缪柏其.改进的函数系数自回归建模方法对上海股市实证分析[J].运筹与管理,2007,16(4):107-110. |
| 作者姓名： | 惠军 武志辉 缪柏其 |
| 作者单位： | 1. 中国科学技术大学,商学院,安徽,合肥,230026;合肥工业大学,理学院,安徽,合肥,230009 2. 合肥工业大学,理学院,安徽,合肥,230009 3. 中国科学技术大学,商学院,安徽,合肥,230026 |
| 基金项目： | 国家自然科学基金;高等学校博士学科点专项科研项目;合肥工业大学校科研和教改项目 |
| 摘 要： | 函数系数自回归模型(FAR)是一类更具有适应性的模型。本文利用函数系数自回归模型对上海股市日收益率进行建模及短期预测,改进现有建模对带宽、模型的依赖变量以及阶数确定方法。并与上海股市日收益率的自回归模型结果进行了比较,结果表明改进的函数系数模型具有很好的预测能力。 |
| 关 键 词： | FAR模型 局部多项式 带宽 AR模型 |
| 文章编号： | 1007-3221（2007）04-0107-04 |
| 修稿时间： | 2007-01-05 |
An Empirical Analysis of Shanghai Stock Market in Using a Modified Functional Coefficient Autoregressive Model Method |
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| HUI Jun,WU Zhi-hui,MIAO Bai-qi.An Empirical Analysis of Shanghai Stock Market in Using a Modified Functional Coefficient Autoregressive Model Method[J].Operations Research and Management Science,2007,16(4):107-110. | |
| Authors: | HUI Jun WU Zhi-hui MIAO Bai-qi |
| Institution: | 1. Business School, University of Science and Technology of China, He f ei 230026, China 2. Science School, Hefei University of Technology, Hefei 230009, China |
| Abstract: | This paper makes use of functional coefficient autoregressive model modeling and forecasting daily revenue of stock market in Shanghai.In the foundation of improving existing solving method for model-dependent variable and order determination and bandwidth,we propose a new method.Then we make comparison with the result of autoregression model on daily revenue of stock market in Shanghai.The result shows that the improved functional coefficient autoregressive model has a good capability in forecasting. |
| Keywords: | FAR model local polynomial bandwidth AR model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |