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| 基于MODWT的FIGARCH模型波动的持续性与相关性 | |
| 引用本文： | 王萍,刘丹红,臧玉卫,孙晓宇. 基于MODWT的FIGARCH模型波动的持续性与相关性[J]. 天津大学学报(社会科学版), 2009, 11(4): 302-306 |
| 作者姓名： | 王萍 刘丹红 臧玉卫 孙晓宇 |
| 作者单位： | 1. 天津大学理学院,天津,300072 2. 天津大学北洋科技开发有限公司,天津,300072 3. 南开大学经济学院,天津,300072 |
| 摘 要： | 基于FIGARCH模型与最大重复离散小波变换的小波多分辨分析，提出了不同尺度下的FIGARCH模型，并以此来讨论金融波动序列在不同尺度下的持续性问题；利用可描述两列波动序列的整体相关特性的交叉互相关函数，提出了可以描述两列波动序列在不同尺度、不同滞后期下小波交叉互相关函数的定义，并进行了实证分析。 |
| 关 键 词： | FIGARCH模型 持续性 最大重复离散小波变换 小波交叉互相关 |
Continuity and Correlation of the Fluctuation of FIGARCH Model Based on MODWT |
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| WANG Ping,LIU Dan-hong,ZANG Yu-wei,SUN Xiao-yu. Continuity and Correlation of the Fluctuation of FIGARCH Model Based on MODWT[J]. Journal of Tianjin University(Social Sciences), 2009, 11(4): 302-306 | |
| Authors: | WANG Ping LIU Dan-hong ZANG Yu-wei SUN Xiao-yu |
| Affiliation: | 1. School of Sciences, Tianjin University, Tianjin 300072, China; 2. Tianjin University Beiyang S＆T Development Co. ltd. ,Tianjin 300072, China; 3. School of Economies,Nankai University, Tianjin 300072, China) |
| Abstract: | First, FIGARCH model under different scales was proposed based on wavelet multi-resolution analysis of （ maximal overlap discrete wavelet transform, MODWT ）, with which the continuity problem of financial fluctuation series under different scales was discassea. Fur thermore the definition of wavelet cross-correlation function was, put forword, which can describe two fluctuation series under different scales and different laggings, by using cross-correlation function that can describe the whole correlation characters of two fluctuation series. At last empirical analysis was made. |
| Keywords: | FIGARCH model continuity maximal overlap discrete wavelet transform wavelet cross-correlation |
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