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ji yu chang qi ji yi te zheng shi xu fen xi de zhong guo gu shi xiao lv xing jian yan
Author(s): 
Pages: 37-38
Year: Issue:  1
Journal: Xi'an Finance

Keyword:  股价指数 长期记忆特征 R/S分析 ARFIMA模型;
Abstract: 本文运用R/S分析和ARFIMA模型,对中国股票价格指数的长期记忆特征进行了实证分析,认为深、沪两市总体上不存在长期相关性,从长期记忆性的角度分析,不能否认中国股市的有效性。
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