【摘要】 基于FIGARCH模型与最大重复离散小波变换的小波多分辨分析,提出了不同尺度下的FIGARCH模型,并以此来讨论金融波动序列在不同尺度下的持续性问题;利用可描述两列波动序列的整体相关特性的交叉互相关函数,提出了可以描述两列波动序列在不同尺度、不同滞后期下小波交叉互相关函数的定义,并进行了实证分析。更多还原

【Abstract】 First,FIGARCH model under different scales was proposed based on wavelet multi-resolution analysis of(maximal overlap discrete wavelet transform,MODWT),with which the continuity problem of financial fluctuation series under different scales was discassea.Fur thermore the definition of wavelet cross-correlation function was,put forword,which can describe two fluctuation series under different scales and different laggings,by using cross-correlation function that can describe the whole correlation characters of two fluctuation series.At last empirical analysis was made.更多还原