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股市预警系统与构成指标简述
引用本文:周爱民.股市预警系统与构成指标简述[J].三峡大学学报(人文社会科学版),2000(3).
作者姓名:周爱民
作者单位:南开大学国际经济研究所!天津300071
基金项目:国家教育部人文社会科学博士点基金项目 !98JBY790 0 0 8
摘    要:中国股市是一个高风险的股市 ,因此有必要运用现代金融计算技术和计量金融理论建立一套股市预警系统。本文在讨论了建立股市预警系统的必要性、可行性的基础上 ,着重讨论了股市预警系统的指标构成原则和框架 ,将近年来在现代金融理论中发展很快的协整理论(CointegrationTheory)、条件异方差理论、市场有效性理论等引入到股市预警系统框架中来

关 键 词:股市预警  构成指标  协整理论  条件异方差  合成指数

Forecasting System of Stock Market and Summary of Its Composing Indexes
ZHOU Ai_min.Forecasting System of Stock Market and Summary of Its Composing Indexes[J].Journal of China Three Gorges University(Humanities & Social Sciences),2000(3).
Authors:ZHOU Ai_min
Abstract:It is necessary and possible to set up a forecasting system of stock markets by using modern financial calculating technique and econometrics theory, because there is a very high degree of risks in China's stock markets. This article discusses the principle and frame of composing indexes of the system based on the arguementation of the necessity and feasibility of the system. The author of the paper introduces the cointegration theory and auto regression of conditional hypervariance that have developed rapidly in modern financial theories recently into the above frame.
Keywords:Forecasting of stock market  Composing indexes  Cointegration theory  Auto regression of conditional hypervariance  Composite indexes
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