向量GARCH过程协同持续性研究  

Study on co-persistence of vector GARCH processes

作　　者：杜子平[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》2003年第5期385-390,425,共7页Journal of Systems Engineering

基　　金：教育部博士点专项科研基金资助项目(2000005606).

摘　　要：在Bollerslev和Engle提出波动协同持续概念的工作基础上,本文提出了部分协同持续、分块协同持续等概念,并讨论了时间序列的平稳性与波动持续性的等价关系,进一步研究了协同持续(co persistence)的本质;在两种情况下,证明了协同持续的不存在性;以及在二维情况下,说明了完全线性相关的两变量协同持续的关系;并探讨了协同持续与协整的联系,这有利于深刻理解波动的协同持续性.Based on the idea of Bollerslev and Engle on 'co_persistence in conditional heteroskedasticity', this paper generalizes the concept to partialcopersistence and blockedcopersistence, and discusses the relationship of stationary and volatility persistence. It also showes noexistence of co_persistence under two conditions, and existence of co_persistence when two variables exist linear relation. At the same time, the relationship of cointegration and co_persistence is studied. All those work will be helpful for understanding the volatility structure of financial markets.

关 键 词：金融市场波动 现代投资理论 向量GARCH模型 金融风险 协同持续性 

分 类 号：F830.9[经济管理—金融学]