This paper defines the meaning of statistical productivity,statistical innovation and the innovation network.It also provides an analysis of factors which result in the recession of academic research in schools,and st...This paper defines the meaning of statistical productivity,statistical innovation and the innovation network.It also provides an analysis of factors which result in the recession of academic research in schools,and states the challenges the government faces.The author puts up a strategy which bases on the development of statistical productivity,trying to unite government and universities to cooperatively apply the modern statistic methods into the course of data collection and procession,therefore,create a new statistical model fitting into the social development of modern China.展开更多
长期记忆性的存在不仅是对市场有效性的违背,为投资利润的出现提供了可能性,而且对传统的实证研究方法也是一个冲击。本文对中国内地A股和香港H股两个分割市场分别建立能够反映其收益率波动的分形单整广义自回归条件异方差FIGARCH(1,d,1...长期记忆性的存在不仅是对市场有效性的违背,为投资利润的出现提供了可能性,而且对传统的实证研究方法也是一个冲击。本文对中国内地A股和香港H股两个分割市场分别建立能够反映其收益率波动的分形单整广义自回归条件异方差FIGARCH(1,d,1)模型,利用Teyssiere、Brunetti and Gilbert所倡导的双变量FIGARCH(1,d,1)模型框架,检验内地A股与香港H股市场的分形参数是否相同,发现并不能拒绝两个市场具有相同分形参数的假设。最后,对A股和H股的绝对收益率和平方收益率的线性组合建立ARFIMA模型进行估计,分形参数并不显著区别于零,从而得出结论:两个市场拥有相同的分数单整阶数,其波动过程是分形协整的。展开更多
文摘This paper defines the meaning of statistical productivity,statistical innovation and the innovation network.It also provides an analysis of factors which result in the recession of academic research in schools,and states the challenges the government faces.The author puts up a strategy which bases on the development of statistical productivity,trying to unite government and universities to cooperatively apply the modern statistic methods into the course of data collection and procession,therefore,create a new statistical model fitting into the social development of modern China.
文摘长期记忆性的存在不仅是对市场有效性的违背,为投资利润的出现提供了可能性,而且对传统的实证研究方法也是一个冲击。本文对中国内地A股和香港H股两个分割市场分别建立能够反映其收益率波动的分形单整广义自回归条件异方差FIGARCH(1,d,1)模型,利用Teyssiere、Brunetti and Gilbert所倡导的双变量FIGARCH(1,d,1)模型框架,检验内地A股与香港H股市场的分形参数是否相同,发现并不能拒绝两个市场具有相同分形参数的假设。最后,对A股和H股的绝对收益率和平方收益率的线性组合建立ARFIMA模型进行估计,分形参数并不显著区别于零,从而得出结论:两个市场拥有相同的分数单整阶数,其波动过程是分形协整的。
