摘要
基于异质信念资产定价模型,运用蒙特卡罗模拟的方法产生异质信念下资产均衡价格的时间序列数据,并对其非线性特征进行相关检验。研究发现,该时间序列具有尖峰肥尾特征、波动率聚类现象和自相似特征,但没能捕捉到长期记忆现象。说明投资者的异质信念是资产价格产生非线性特征的重要内在原因。
Based on the heterogeneous beliefs asset pricing model, the time series data of equilibrium asset prices is produced through Monte Carlo simulation method. The correlation test to the non-linear characteristics of the data is made and found the peak fat tail characteristic, volatility clustering phenomena and self-similar characteristics, However. no long-term memory phenomenon, h is illustrates that the heterogeneity of investor beliefs is one of the important underlying cause to non-linear characteristics of tile asset prices, but not all of it.
出处
《成都理工大学学报（社会科学版）》
2012年第6期63-67,共5页
Journal of Chengdu University of Technology:Social Sciences
基金
福建省科技计划重点项目(2011Y0049)的阶段性研究成果
关键词
异质信念
非线性特征
蒙特卡罗模拟
heterogeneous beliefs
non-linear characteristics
Monte Carlo simulation
