超高频数据下金融市场持续期序列模型述评  

Review on Finance Market Durations Model Based on the UHF Data

作　　者：耿克红[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《中国管理科学》2008年第4期182-192,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70471050))

摘　　要：鉴于针对超高频数据统计建模能够有效弥补传统相同时间间隔数据统计建模的不足,而且有助洞悉金融市场微观结构,近年来,对金融市场超高频数据的研究已成为金融计量学一个全新的研究领域。本文总结了近十年来超高频数据下金融市场持续期序列建模及其参数估计方法的发展及主要成果,对这些持续期模型及其参数估计方法进行了比较,并指出现在和未来该研究领域研究所面临的主要课题。Because modeling for ultra-high frequency data can not only make up the shortcoming of modeling for data which have the same interval traditionally, hut also discern microstructure of financial market. So, in recent years, it has become a bran--new field to research the ultra--high frequency data of financial market. This paper surveys and assesses the development and main fruits of finance market durations models and estimation methods of these models in the recent 10 years. Then, durations models and its estimation methods are compared with each other. In the end, we also point out the new areas of future research along these lines.

关 键 词：超高频数据 持续期 ACD模型 SCD模型 

分 类 号：F830.91[经济管理—金融学]