金融波动性及实证研究

中国管理科学 ›› 2002, Vol. ›› Issue (6): 27-30.

金融波动性及实证研究

樊智, 张世英

天津大学管理学院, 天津, 300072

收稿日期:2002-05-15 出版日期:2002-12-28 发布日期:2012-03-06
基金资助:
国家自然科学基金资助项目(79970096)

Research on the Persistence of Financial Volatility

FAN Zhi, ZHANG Shi-ying

School of Management, Tianjin University, Tianjin 300072, China

Received:2002-05-15 Online:2002-12-28 Published:2012-03-06

摘要/Abstract

摘要： 本文利用分形市场理论解释金融市场的波动性和持续性,讨论了方差序列的持续性和协同持续性,研究了VaR的波动性和持续性问题。最后利用中国股市数据进行了实证研究。

关键词: 金融波动, 分形市场, 方差持续和协同持续, VaR

Abstract: The paper uses the fractal market theory to analyze the volatility of financial markets,and discusses the persistence and copersistence in variance.The paper also studies the volatility and persistence of VaR.In the end,the paper gives the modeling demonstrations of Chinese stock markets.

Key words: financial volatility, fractal market, persistence and copersistence in variance, Value at Risk

中图分类号:

F832

樊智, 张世英. 金融波动性及实证研究[J]. 中国管理科学, 2002, (6): 27-30.

FAN Zhi, ZHANG Shi-ying. Research on the Persistence of Financial Volatility[J]. Chinese Journal of Management Science, 2002, (6): 27-30.

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