动态二元混合模型在量价关系中的应用研究
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财经研究 2004 年 第 30 卷第 08 期, 页码：90 - 95
摘要
参考文献
摘要
文章首次引入动态二元混合分布模型,并利用该模型对中国股票市场的量价关系进行了实证研究。研究结论认为:动态二元混合分布模型能在很大程度上捕捉收益波动的持续性特征,并能揭示交易量与收益波动的联动规律性,但同时该模型也存在一定的缺陷。文章对模型存在缺陷的原因进行了分析,并提出修正建议。
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[2]KarpoffmJM Therelationbetweenpricechangesandtradingvolume:Asurvey[J] JournalofFinancialandQuantitativeAnalysis,1994,64
[3]DanielssonJon Stochasticvolatilityinassetpricesestimationwithsimulatedmaximumlikelihood[J] JournalofEconometrics,1994,64
[4]GlostenL,MilgromPR Bid,ask,andtransactionpricesinaspecialistmarketwithheterogeneouslyinformedtraders[J] JournalofFinancialEconomics1985,14
[5]JacquierE,PolsonNGRossiPE Bayesiananalysisofstochasticvolatilitymodels[J]JournalofBusinessandEconomicStatistics,1994,12
[6]LamoureuxCG,WDLastrapes Heteroskedasticityinstockreturndata:VolumeversusGARCHeffects[J] JournalofFinance,1990,XLV,No 1
[7]LamoureuxCG,WDLastrapes Endogenoustradingvolumeandmomentuminstockreturnvolatility[J] JournalofBusinessandEconomicsStatistics,1994,12
[8]LiesenfeldR DynamicBivariateMixturemodels:Modelingthebehaviorofpricesandtradingvolume[J] JournalofBusinessandEconomicStatistics,1998,16
引用本文
李双成, 甄增荣. 动态二元混合模型在量价关系中的应用研究[J]. 财经研究, 2004, 30(8): 90–95.
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