| 我国股票市场的非线性研究——基于LSTAR模型 |
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| 引用本文： | 刘宇.我国股票市场的非线性研究——基于LSTAR模型[J].管理工程学报,2008,22(1):82-85. |
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| 作者姓名： | 刘宇 |
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| 作者单位： | 华中科技大学经济学院,湖北,武汉,430074 |
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| 摘 要： | 本文基于LSTAR模型对我国股票市场上证A指的非线性进行了实证研究,研究结果表明我国上证A指具有明显的非线性逻辑转换的特征,该模型很好的刻画了上证A指动态周期行为,在预测上也明显的优于传统线性模型.
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| 关 键 词： | LSTAR 非线性转换 动态行为 |
| 文章编号： | 1004-6062(2008)01-0082-04 |
| 修稿时间： | 2006年7月17日 |
A Study of Nonlinearities in China's Stock Markets——Based on LSTAR Model |
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| LIU Yu.A Study of Nonlinearities in China''''s Stock Markets——Based on LSTAR Model[J].Journal of Industrial Engineering and Engineering Management,2008,22(1):82-85. |
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| Authors: | LIU Yu |
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| Abstract: | This paper,applies the LSTAR model to an empirical study of the Shanghai stock A index.The results show that there is significant characteristic of nonlinear logistic transition in the Shanghai stock A market.The LSTAR model successfully detects the cyclical behavior and makes improvement in forecast performance relative to a linear AR model. |
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| Keywords: | LSTAR Nonlinearities dynamical behavior |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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