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基于高频数据的股指风险价值预测 被引量:4

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摘要 以高频数据为基础,本文比较研究了股指风险价值的预测问题。通过构造日"已实现"波动,并建立对数"已实现"标准差的ARFIMA模型,进而构造高频风险价值预测模型。同时,该模型与能够考察非对称性和长记忆性的APARCH模型进行比较。研究结果表明,高频风险价值预测模型具有明显的优势,能够更好的预测风险。
出处 《统计与决策》 CSSCI 北大核心 2007年第18期89-91,共3页 Statistics & Decision
基金 国家杰出青年科学基金资助项目(70225002)
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参考文献4

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二级参考文献19

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