| 关于外汇汇率的非线性协整分析 |
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| 引用本文： | 丰璐.关于外汇汇率的非线性协整分析[J].数理统计与管理,2012,31(4):727-734. |
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| 作者姓名： | 丰璐 |
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| 作者单位： | 天津财经大学理工学院数学系,天津,300222 |
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| 基金项目： | 天津财经大学科技发展基金项目资助(项目编号:Q1202) |
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| 摘 要： | 不同汇率的波动特征及其之间存在的相互关系是金融研究领域的一个热点。本文以人民币对美元汇率和人民币对欧元汇率为研究对象,检验出它们之间存在着非线性的协整关系,并建立了分数维非线性协整模型来定量地描述这种长期均衡关系。
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| 关 键 词： | 非线性协整 汇率 分整 长记忆性时间序列 |
Non-linear Cointegration Analysis on the Exchange Rate Market |
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| FENG Lu.Non-linear Cointegration Analysis on the Exchange Rate Market[J].Application of Statistics and Management,2012,31(4):727-734. |
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| Authors: | FENG Lu |
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| Institution: | FENG Lu (Mathematics Department,Tianjin University of Finance and Economics,Tianjin 300222,China) |
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| Abstract: | The fluctuation and relationship of different exchange rates is an important research point in the financial research field.The aim of this paper is to reveal the non-linear cointegration relation between USD to RMB exchange rate and EUR to RMB exchange rate.Furthermore,based on a nonlinear fractional cointegration model,the long-run equilibrium is described quantitatively. |
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| Keywords: | non-linear cointegration exchange rate fractional-integer long memory time series |
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