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Methods of Semi -parametric Estimation Based on High -frequency Data in Stock Market
Author(s): 
Pages: 112-118
Year: Issue:  1
Journal: APPLICATION OF STATISTICS AND MANAGEMENT

Keyword:  长记忆LP回归LW估计:重大突发事件;
Abstract: 针对非参数方法研究国内股市长记忆性时结论参差不齐的现状,本文研究了更为稳健的半参数估计方法,即局部Whittle(LW)估计和对数周期图(LP)回归.通过对不同频率高频数据的分析,证实了LW估计方法尽管需要数值最优化,但仍然要优于LP回归.进而将LW估计首次应用于中国股市,结果表明不同频率绝对收益序列的长记忆强度基本一致:同时发现,重大突发事件发生时的长记忆性表现得最为强烈,且事件后比事件前表现的要强烈,这说明股票市场的溢出效应在事件后增强,此项结论对我国证券市场有一定的借鉴意义.
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