超高频数据的变结构分整增广ACD模型  

Regime-switching fractionally integrated augmented ACD model on ultra-high-frequency data

作　　者：韩铁[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2008年第1期52-59,共8页Journal of Systems Engineering

基　　金：国家自然科学基金(70471050)

摘　　要：以Box-Cox变换和变结构方法为基础,建立了包括变结构、长记忆、非线性等特征的变结构分整增广ACD模型.利用遗传算法等工具,解决了模型参数估计问题,从而解决了ACD模型的形式设定问题.给出变结构分整增广ACD模型的无条件矩性质,并且推导出数十种ACD模型的扩展模型.The paper proposes a comprehensive model based on the Box-Cox transformation and regime switching methods. It is termed regime-switching fractionally integrated augmented ACD model, which embraces the properties of regime switching, long memory and non-linear structure. The coefficient of the model is estimated by the hybrid hierarchy genetic algorithm, so the handicap in model specification test is overcome. This paper also gives the moment property of the model and derives dozens of new extended models.

关 键 词：变结构 长记忆 ACD模型 马尔科夫转移 超高频数据 

分 类 号：F830[经济管理—金融学]