金融时间序列的波动性建模研究综述[EB/OL]
北京：中国科技论文在线
研究描述金融时间序列波动的动态模型成为现代金融研究的核心问题之一．本文首先介绍了近些年金融波动模型的研究进展
金融类的许多时间序列的波动具有时变性和持续性．为此
Jiang Xiaogan 2, （ 1、 School of Economics and Management, Southeast University
最后对金融波动研究领域中尚未研究的问题进行了展望
2、 School of Economics and Management, Southeast University
这一风险往往用方差或波动来描述和度量．人们发现
关键词： 金融时间序列
） 摘要： 金融市场存在风险
） Abstract： There is risk in financial market, which is often described and measured by variance or volatility
Researchers find that the variances of many financial time series are time-varying and persistent, so the study of dynamic models that describe the variances of financial time series has become one of the most important issues in modern finance research
Firstly, this paper reviews the advancement in financial volatility models
Then it prospects the new research field in the study on financial volatility
Keywords： financial time series;volatility models;persistence 下载PDF阅读器 PDF全文下载： 初稿 （ 214 ） 作者简介： 通信联系人： 【收录情况】 中国科技论文在线： 姜秀丽
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