| 基于LMSV模型的半参数方法对股市波动长记忆特征的识别 |
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| 引用本文： | 赵巍,何建敏.基于LMSV模型的半参数方法对股市波动长记忆特征的识别[J].数理统计与管理,2011,30(2):322-329. |
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| 作者姓名： | 赵巍 何建敏 |
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| 作者单位： | 1. 淮海工学院商学院,江苏连云港,222001
2. 东南大学经济管理学院,江苏南京,210096 |
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| 摘 要： | 在金融时间序列波动具有显著的长记忆性这一背景之下,研究了LMSV模型长记忆参数的估计问题。首先,分析了LMSV模型的相关性质;接着,根据LMSV模型和ARFIMA模型的良好对应关系,提出了估计LMSV模型长记忆参数的半参数方法;最后,基于股市数据,验证了波动半参数方法的有效性。
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| 关 键 词： | 长记忆性 LMSV模型 半参数估计 |
The Long Memory Property Detection on Stock Market Volatility by Semiparametric Methods with LMSV Model |
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| ZHAO Wei,HE Jian-min.The Long Memory Property Detection on Stock Market Volatility by Semiparametric Methods with LMSV Model[J].Application of Statistics and Management,2011,30(2):322-329. |
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| Authors: | ZHAO Wei HE Jian-min |
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| Institution: | ZHAO Wei~1 HE Jian-min~2 (1.School of Business,Huaihai Institute of Technology,Jiangsu Lianyungang 222001,China,2.School of Economics and Management,Southeast University,Jiangsu Nanjing 210096,China) |
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| Abstract: | Under the background of financial time series with obviously long memory property,estimation the long memory parameter of LMSV model is studied.Firstly,the properties of LMSV model are analyzed.Then the semiparametric methods of estimating long memory parametric in LMSV model are proposed based on the suitable corresponding relationships.Finally,the efficiency of the semiparametric methods is testified by stock market data. |
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| Keywords: | long memory property LMSV semiparametric estimation |
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