期刊文献+

马尔可夫结构转换随机波动模型及其应用研究 被引量:1

The Random Fluctuation Model and Its Application of Malcof's Structure Change
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摘要 本文在Lam和L i研究的基础上,将马尔可夫结构转换引入到SV模型,来构建SVMRS模型,并将该模型与标准的SV模型以及Sm ith模型进行比较,发现结构转换的引入可以大大降低波动的持续性,更好地揭示股市波动的特征。结合国内外研究成果,本文还分析了导致发达国家证券市场与中国股票市场波动出现结构转变的原因的差异。
作者 黄杰伟 谢赤
出处 《湖南商学院学报》 2005年第4期76-78,共3页 Journal of Hunan Business College
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参考文献12

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