基于高频数据的金融波动率模型被引量：2

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摘要金融高频数据和金融波动率是目前金融领域研究的热点问题。本文对基于金融高频数据的金融波动率估计量——"已实现"双幂次变差进行了建模和预测。"已实现"双幂次变差无模型、计算简便,在一定条件下是金融波动率的无偏估计量,并且具有稳健性和有效性。通过用上证综指对"已实现"双幂次变差进行ARFIMA建模,发现中国股票市场的上证综指"已实现"双幂次变差时间序列具有长记忆性。

作者李胜歌张世英

机构地区天津大学管理学院

出处《统计与决策》 CSSCI 北大核心 2008年第1期7-8,共2页 Statistics & Decision

基金国家自然科学基金资助项目(70471050)

关键词金融高频数据 “已实现”双幂次变差 ARFIMA模型

分类号 F830 [经济管理—金融学]

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参考文献9

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二级参考文献11

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