金融时间序列高阶矩的时变性与波动持续性研究  

To Study on the Time-Varying Character and Fluctuating Persistence of Higher Moments for the Time Ordering of Banking

作　　者：王凤[1] 江孝感[1] 

机构地区：[1]东南大学经济管理学院,南京210096

出　　处：《价值工程》2008年第10期16-19,共4页Value Engineering

基　　金：国家自然科学基金资助项目(70471029)

摘　　要：波动持续性与非对称性是二阶矩方差的两个典型特征,类似于方差风险。高阶矩风险也具有自己的特征。重点讨论了三阶矩偏度与四阶矩峰度的时变性特性与波动持续性特征,指出不仅方差具有波动持续性,而且高阶矩序列同样存在持续性,并给出了高阶矩存在持续性的定义以及波动的持续性定理的相关证明。Persistence in volatility and the asymmetric are two typical characteristics of the second moments. Higher moments risk has its own character, which is similar to the character of the second moments risk, i.e. variance risk. The paper talks about he time-varying character and persistence in volatility of the third moments, i.e. skewness and the fourth moments, i.e. kurtosis, points out that not only variance has persistence in volatility but also the higher moments, and presents the definition of persistence in the higher moments and theorem about persistence in volatility.

关 键 词：高阶矩 时变性 波动持续性 金融 

分 类 号：F830[经济管理—金融学]