上海股市收益率序列簇生特征局部线性平滑分析  

Local Linear Smoothing Analysis of Shanghai Stock Market Returns Sequence Clustering Feature

作　　者：方国斌[1] 马慧敏[1] 

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030

出　　处：《数理统计与管理》2009年第3期523-530,共8页Journal of Applied Statistics and Management

基　　金：安徽省高校自然科学研究项目(编号:KJ2007B256)

摘　　要：本文从分析上海股票市场收益率序列的基本特征入手,重点利用非参数方法分析收益率序列波动性的簇生特征.首先通过一系列描述指标说明股市收益率序列具有的基本特点,利用非参数方法估计收益率序列的密度函数.进一步利用非参数回归分析的方法,分析股票市场的波动性,说明股市收益率序列的簇生特征是一个一般规律,在防范股市风险的时候应该注意到这一特点.This paper based on the analysis of the Shanghai stock market return sequence of basic characteristic. Focus on the use of non - parametric method sequence analysis yield volatility of the Cluster. At first described by a series of indicators in the stock market return sequence with the basic characteristics. We use non - parametric estimation methods yield sequence density function. Further use of nonparametric regression analysis, analysis of the volatility of the stock market, Note the stock market return sequence Cluster feature is a general law, to prevent the risk of the stock market should take note of this feature.

关 键 词：股市 收益率 簇生 非参数 

分 类 号：F222.3[经济管理—国民经济]