摘要
首先介绍了有关方差持续性的概念 ,并引入了向量 GARCH过程一种特殊表示形式即 BEKK表示形式 ,在此基础上讨论了 BEKK的单整性和持续性 ,给出了协同持续性的一种简明判定方法并提出了 BEKK存在协同持续的充分必要条件 。
In this paper, we firstly introduce the conception of persistence in variance and then show that the BEKK model suggested by Engle and Kroner (1995) yields general the GARCH process. The integration and persistence of the BEKK model are discussed and the sufficient and necessary condition of co persistence in variance of the BEKK model is suggested. A parsimonious form of the BEKK models is given at the end of the paper.
出处
《系统工程学报》
CSCD
2001年第3期181-186,196,共7页
Journal of Systems Engineering
基金
教育部博士点基金资助项目 ( 2 0 0 0 0 0 5 60 6)
