摘要
本文在对上证指数和深证指数周收益率尾部检验的基础上,利用游程持续期依赖的检验方法,得出仅沪市存在理性投机泡沫的结论。
Based on the tail test for the wcekly returns of
Shanghai Stock Exchange Composite Index and Shenzhen
Stock Exchange Composite Index. this paper tests the ra-
tional speculative bubbles with the statistical theory of dura-
tion dependence. and finds rational speculative bubbles only
exists in Shanghai Stock Exchange.
出处
《上海管理科学》
2003年第6期31-33,共3页
Shanghai Management Science
