高频金融时间序列研究:回顾与展望被引量：7

Research on High-Frequency Financial Time Series:Past Development and Future Challenge

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摘要高频金融时间序列的分析与建模是金融计量学的一个全新的研究领域。论述了迄今国际相关文献中几乎所有关于高频金融时间序列的理论和实证研究成果:高频时间序列的模型化方法、日历效应、"已实现"波动和ACD模型,指出了研究中存在的问题,展望了高频时间序列的研究趋势。 High-frequency data analysis and modeling is a new research field in financial econometrics. The paper reviews all theories and empirical research of high-frequency data in international literatures:high-frequency data's modeling, calendar effect, realized volatility and ACD model, and points out its problems. At last, the paper discusses the future research trend.

作者徐正国张世英

机构地区天津大学管理学院

出处《西北农林科技大学学报（社会科学版）》 2005年第1期62-67,共6页 Journal of Northwest A&F University(Social Science Edition)

基金国家自然科学基金资助项目(70171001)

关键词高频金融时间序列 “已实现”波动率异质自回归条件异方差模型(HARCH模型) 日历效应自回归条件持续期模型(ACD模型) high-frequency financial time series realized volatility heterogeneous autoregressive conditional heteroskedasticity model calendar effects autoregressive conditional duration model

分类号 F224.0 [经济管理—国民经济]

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