| 随机环境下的一类衍生的ARCH模型的极限行为 |
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| 引用本文： | 唐明田,王允艳.随机环境下的一类衍生的ARCH模型的极限行为[J].经济数学,2006,23(1):52-57. |
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| 作者姓名： | 唐明田 王允艳 |
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| 作者单位： | 中南大学数学科学与计算技术学院,湖南,长沙,410075 |
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| 摘 要： | 提出了随机环境下的幂变换门限自回归条件异方差模型,得出了其以几何速率收敛的充分条件.该模型反映了动力系统受随机环境干扰的现象,能更好的拟合现实世界中的诸多实际问题.另一方面,本文推广了自回归条件异方差模型,改善了模型的适应性程度,能够更好地适用于各种不同的金融市场价格行为波动的现象.
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| 关 键 词： | 马氏链 随机环境 几何遍历 伴随几何遍历 |
| 修稿时间： | 2005年1月9日 |
THE LIMIT BEHAVIOR OF A CLASS OF DERIVED ARCH MODEL UNDER THE RANDOM ENVIRONMENT |
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| Mingtian Tang,Yunyan Wang.THE LIMIT BEHAVIOR OF A CLASS OF DERIVED ARCH MODEL UNDER THE RANDOM ENVIRONMENT[J].Mathematics in Economics,2006,23(1):52-57. |
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| Authors: | Mingtian Tang Yunyan Wang |
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| Abstract: | In this article,a new class of power-transformed threshold ARCH model under the randomenvironment is proposed and the sufficient condition for its convergence is obtained.This model in randomenvironment reflects the phenomenon that dynamic system is interfered by random environment,so it canbetter imitate many substantial problems in the real world.On the other hand,this paper popularizes theARCH model,this make the model be more adaptive,so it can better applicable to phenomena of pricebehavior fluctuation in financial market. |
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| Keywords: | Markov chains random environment geometric ergodicity adjoint geomentric ergodicity |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
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