摘要
波动率是金融时间序列最重要的特征之一,因而模拟和预测金融市场资产收益率的波动性己经成为众多理论和实证研究的重要领域。本文通过对外汇市场EUR/USD收益率波动性的实证建模分析,验证了在信息不对称的外汇市场上,好消息与坏消息对收益率波动性的不同反应,进而证实了外汇市场中杠杆效应,为外汇投资者提供参考。
The volatility is one of the most important features of financial time series,thus simulating and forecasting volatility of the return on assets of financial market have become important fields of numerous theoretical and empirical research.Through empirical modeling analysis of volatility of EUR/USD return on assets of foreign exchange market,this article verifies the different reactions of the good news and the bad news on volatility of yield on the information asymmetry foreign exchange market,further proves the leverage in the foreign exchange market,providing reference for currency investors.
出处
《商业研究》
CSSCI
北大核心
2011年第10期123-127,共5页
Commercial Research
