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中国股市收益率长记忆性R/S非线性分析 被引量：22

R/S Nonlinear Analysis on the Long Memory of Chinese Stock Markets Return
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摘要 针对中国股市收益率序列中的长记忆性问题,采用R/S非线性估计方法和ARFIMA模型进行了实证研究。结果表明:中国股市收益率普遍存在长记忆性,只有个别股票不存在长记忆性,而且深市比沪市具有更强的长记忆性。 R/S non-linear estimate and ARFIMA model are used to study the long memory in Chinese stock returns. The results show： long memory exist on Chinese stock returns only except for a few samples, long memory in Shenzhen stock is more powerful than those in Shanghai stock.
作者 郝清民
机构地区 天津大学管理学院
出处 《管理工程学报》 CSSCI 2007年第2期115-117,共3页 Journal of Industrial Engineering and Engineering Management
关键词 长记忆性 非线性分析 R/S分析 中国 股市收益率 long memory non-linear estimate rescaled range analysis
分类号 O212 [理学—概率论与数理统计] F832.5 [经济管理—金融学]
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参考文献14

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二级参考文献45

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共引文献182

同被引文献218

引证文献22

二级引证文献152

管理工程学报
2007年 第2期

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