| 价格持续期的SEMIFAR-ACD模型 |
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| 引用本文： | 刘洪 王江涛. 价格持续期的SEMIFAR-ACD模型[J]. 统计研究, 2015, 32(1): 88-94 |
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| 作者姓名： | 刘洪 王江涛 |
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| 摘 要： | 本文提出了一类同时包含确定性，差分平稳以及平稳长相关趋势的描述交易价格持续期新模型---SEMIFAR-ACD模型。研究了模型的估计方法和各估计量的渐近性质，构建了相应的估计算法，并应用实际数据，将SEMIFAR-ACD模型与普通ACD模型模拟效果进行比较，论证了SEMIFAR-ACD模型更好的描述数据的性能。
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| 关 键 词： | SEMIFAR-ACD模型 差分平稳趋势 价格持续期 |
The SEMIFAR-ACD Model for the Price Duration |
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| Liu Hong Wang Jiangtao. The SEMIFAR-ACD Model for the Price Duration[J]. Statistical Research, 2015, 32(1): 88-94 |
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| Authors: | Liu Hong Wang Jiangtao |
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| Abstract: | A new type of model has been proposed in this paper, which includes deterministic trends, difference stationary and stationary with long-range dependence trend and is named as SEMIFAR-ACD model. This model is used for modeling the price duration. In this paper we have discussed the estimation of parameter, analyzed the property of estimator and designed an efficient algorithm for this model. Contrasting to the usual ACD model, SEMIFAR-ACD has advantages in modeling the duration of price series. |
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| Keywords: | SEMIFAR-ACD Model Difference Stationary Trend Price Duration |
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