【摘要】 针对股票市场价格行为的尖峰厚尾态和有偏性以及波动聚类等特点,论证了国际上广为接受的跨期依赖模型(IntertemporalDependenceModels),t-分布模型,广义混合正态分布模型和泊松跳跃模型,并对股票市场价格行为的各种理论模型作了深入的分析。更多还原

【Abstract】 On the basis of characteristic of price behavior in stock market,that is,three typical characteristics of the financial time series(fat tails,excess kurtosis,volatility clustering),intertemporal dependence models widely used internationally were verified,i.e,T-distributive model,generalized and normal distribution one and Bersoon one.Further analyses of differentt theory models on price behaviors in stock market were presented.更多还原