| 关于股票市场收益率曲线特征分析方法综述 |
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| 引用本文： | 熊正德,熊一鹏.关于股票市场收益率曲线特征分析方法综述[J].当代经济管理,2005,27(3):138-141. |
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| 作者姓名： | 熊正德 熊一鹏 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家自然科学基金资助项目(70142015) |
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| 摘 要： | 本文对股票市场收益率曲线表现出来的尖峰、厚尾、非对称性、波动的长期记忆等分布特征相关理论的产生、发展及最新研究成果进行了综述,并对捕捉、描述这些特征的模型的发展创新进行了介绍,最后对概率密度函数的选择进行了比较分析。
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| 关 键 词： | 股市收益率 尖峰 厚尾 非对称性 长期记忆 MMAR Pearson第Ⅳ类 |
| 文章编号： | 1673-0461(2005)03-0138-04 |
Methods to Analysis on Curve Characteristics of Stock Market Returns: An Overview |
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| XIONG Zheng-de,XIONG Yi-peng.Methods to Analysis on Curve Characteristics of Stock Market Returns: An Overview[J].Contemporary Economic Management,2005,27(3):138-141. |
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| Authors: | XIONG Zheng-de XIONG Yi-peng |
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| Abstract: | In this paper, the emergence development of related theories and recent researches on the curve characteristics of stock market returns have been surveyed, which shows distribution characteristics of excess kurtosis, fat tails, asymmetry, long memory of volatility etc. Further more, this paper introduces the progress, innovation of the models that can capture, describe these characteristics , and compares, analyzes the choices of probability density function. |
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| Keywords: | MMAR |
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