| 非参数ACD模型及其在中国股票市场的实证研究 |
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| 引用本文： | 戴丽娜,景睿.非参数ACD模型及其在中国股票市场的实证研究[J].统计与信息论坛,2006,21(3):96-99. |
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| 作者姓名： | 戴丽娜 景睿 |
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| 作者单位： | 1. 西南财经大学 研究生部,四川 成都 610074
2. 西南财经大学 研究生部,四川 成都610074 |
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| 摘 要： | 文章利用中国证券市场的日内交易数据实证了非参数ACD模型。非参数ACD模型不依赖条件均值的函数形式和误差项的分布形式,更具有一般意义。文章从多个方面进行实证分析。利用非参数方法进行分析的结果表明:数据不能用线性ACD模型来刻画,根据非参数拟合曲面的形状可以把此ACD模型的函数形式设定为某种非线性形式。
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| 关 键 词： | 非参数ACD模型 非参数估计 模型形式设定 |
| 文章编号： | 1007-3116(2006)03-0096-04 |
| 修稿时间： | 2006年2月25日 |
Nonparametric ACD Model and It's Empirical Study on Stock Market in China |
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| DAI Li-na,JING Rui.Nonparametric ACD Model and It''''s Empirical Study on Stock Market in China[J].Statistics & Information Tribune,2006,21(3):96-99. |
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| Authors: | DAI Li-na JING Rui |
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| Abstract: | In this paper,we have demonstrated the nonparametric ACD model on intraday transaction data of the stock market of China.Because the nonparametric ACD model does not rely on the functional form of(conditional) mean value and the error distribution form,it has more typical implication.The article conducts(empirical) analysis on several aspects.We draw the conclusion that the result of the nonparametric method(analysis) has indicated that the data in the paper can not be depicted by the linear ACD model,and we can set the functional form of the ACD model as the nonlinear form by the nonparametric fitting. |
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| Keywords: | nonparametric ACD model nonparametric estimation the model form specification |
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