| 关于存款序列的长记忆性检验与建模 |
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| 引用本文： | 雷鸣.关于存款序列的长记忆性检验与建模[J].南京财经大学学报,2007(1):53-55. |
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| 作者姓名： | 雷鸣 |
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| 作者单位： | 南京财经大学金融学院,江苏南京210003 |
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| 摘 要： | 存款是银行评价业绩的一项重要指标，建立高精度的存款模型有利于银行的日常资金管理，能提高银行的资金利用率，降低成本等。本文以国内某国有商业银行储蓄存款和对公存款的月度数据为背景，讨论了存款序列的长记忆性问题，从而对于加深存款性质的认识，及此类时间序列建模具有借鉴意义。
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| 关 键 词： | 存款 长记忆 平稳性 |
| 文章编号： | 1672-6049（2007）01-0053-03 |
| 收稿时间： | 2006-06-12 |
Long Memory in Series of Deposits |
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| LEI Ming.Long Memory in Series of Deposits[J].Journal of Nanjing University of Finance and Economics,2007(1):53-55. |
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| Authors: | LEI Ming |
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| Institution: | School of Finance, Nanjing University of Finance and Economics, Nanjing 210003, China |
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| Abstract: | The long memory effect in financial markets is a hotspot for many researchers. Using R/S,modified R/S analysis and GPH model, this paper investigates long memory in series of deposits. It is helpful for banks to build models of deposits accurately and better understand the character of deposits. |
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| Keywords: | Deposits Long Memory Stationary |
| 本文献已被 CNKI 维普 等数据库收录！ |
