[1] Andersen T G.,Bollerslev T.Heterogeneous information arrivals and return volatility dynamics:uncovering the long-run in highfrequency returns[J].Journal of Finance,1997,52:975-1005
[2] Diebold F.Comment on“modelingthe persistence ofconditional variance”,byR.Engle and T.Bollerslev[J].Econometric Reviews,1986,5:51-56.
[3] 付臣余.中国股票市场波动长期记忆性实证研究[D] .天津大学硕士学位论文,2003:7-32.
[4] 张庆翠,王春峰.中国股市波动性与成交量共同的长期记忆性研究[J].管理科学学报,2005,2:38-45.
[5] Claudio Morana,Andrea Beltratti.Structural change and long-range dependence in volatility of exchange rates:either,neither orboth?[J]Journal of Empirical Finance,2004,11:629-658.
[6] Inclan C,TiaoGC.Use ofcumulative sumofsquares for retrospective detection ofchange in variance[J].Journal of the AmericanStatistical Association,1994,89:913-923.
[7] Kunsch H R.Statistical aspects of self similar processes[C].In:Prohorov,Y.,Sazanov,V.V.(Eds.),Proceedings ofthe First WorldCongress of the Bernoulli Society,VNU Science Press,Utrecht,1987,1:67-74.
[8] Robinson P M.Semiparametric analysis of long memory time series[C].Annals of Statistics 22,1994a:515-539.
[9] Geweke J,Porter-Hudak S.The estimation and application of long memory time series[J].Journal of Time Series Analysis,1983,4:221-238.
[10] Robinson P M.Gaussian semiparametric estimation oflongrange dependence[C].The Annals ofStatistics,1995b,23:1630-166.
[11] Robinson P M.Comment[J].Journal of Business and Economic Statistics,1998,16(3):276-279.
[12] Robinson P M.Log periodogram regression of time series with long range dependence[C].The Annals of Statistics,1995a,23:1048-1072.
[13] Fallaw Sowell.Maximum likelihood estimation of stationary univariate fractionally integrated time series models[J].Journal ofEconometrics,1992,1:165-188.
[14] Mandelbrot B B.Fractals:form,chance,and dimension[M].New York:Free Press,1997.
Baidu
map