节点文献
中国证券市场的ACD-GARCH模型及其应用
ACD-GARCH model and its application to Chinese stock market
【Abstract】 This paper uses a new statistical model (ACD\|GARCH) to analysis the high\|frequency data which arrive at irregular intervals in China stock market.We use the ACD\|GARCH model to analysis the relation among the transactions duration and the returns and variances for the index of Shanghai and Shenzhen stock market.
【关键词】 高频数据；
ACD-GARCH模型；
【基金】 国家自然科学基金委创新研究群体基金资助(编号 :70 2 2 10 0 1)
- 【文献出处】 统计研究 ,Statistical Research , 编辑部邮箱 ,2003年11期
- 【分类号】F830.91
- 【被引频次】87
- 【下载频次】951