汇率预测的理论与方法及其最新进展  

Theory and Method of Exchange Rate Forecasting and the Latest Progress

作　　者：谢赤[1] 杨小帆[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《湖南大学学报（社会科学版）》2004年第5期45-50,共6页Journal of Hunan University(Social Sciences)

基　　金：国家自然科学基金资助项目(79970015);全国高校青年教师奖励计划资助项目;教育部博士点专项(20020530005).

摘　　要：总结了众多国内外学者在汇率预测方面的理论及其研究方法。通过对传统的统计方法与非参数方法的比较分析,得出结论:大多数传统的时间序列模型是线性的,不能抓住非线性时间序列数据的内在特征。而相对于传统的预测模型而言,非参数方法能发现观察结果和输入数据的关系,不需要事先确定模型,其拟合结果能更好的捕捉汇率的动态特征与走势。This paper summarizes most of the theory and method of exchange rate forecasting held by many global famous scholars. After comparing the traditional statistic methods with the non-parameter methods, we draw a conclusion that: most traditional time series models are linear and cannot catch the inner character of those non-linear time series. However, non-parameter methods can examine the relations between the results with its input data without defining a model beforehand. The most important is its simulation results can catch the exchange rate dynamics and characters more efficiently.

关 键 词：汇率预测 传统统计方法 非参数方法 

分 类 号：F823[经济管理—财政学]