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| 连续时间资产收益变结构模型的研究 | |
| 引用本文： | 胡素华,张世英,张彤. 连续时间资产收益变结构模型的研究[J]. 系统工程学报, 2007, 22(4): 344-351,385 |
| 作者姓名： | 胡素华 张世英 张彤 |
| 作者单位： | 1. 绍兴文理学院经济与管理学院,浙江,绍兴,312000;天津大学管理学院,天津,300072 2. 天津大学管理学院,天津,300072 |
| 摘 要： | 提出了应用MCMC方法的连续时间变结构模型的单一变结构点的定位方法,并提出了连续时间多变结构点模型的变结构点定位方法;该方法在确定变结构点位置的同时,又能估计相应的模型参数.用该方法对上海股市综合指数的收益序列进行了变结构分析,理论与实证结果表明该方法是有效且可行的. |
| 关 键 词： | 变结构 马尔可夫链蒙特卡罗方法 贝叶斯方法 似然比检验 |
| 文章编号： | 1000-5781（2007）04-0344-08 |
| 收稿时间： | 2006-08-28 |
| 修稿时间： | 2006-08-282007-04-26 |
Research on structural change of continuous time asset return model |
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| HU Su-hua,ZHANG Shi-ying,ZHANG Tong. Research on structural change of continuous time asset return model[J]. Journal of Systems Engineering, 2007, 22(4): 344-351,385 | |
| Authors: | HU Su-hua ZHANG Shi-ying ZHANG Tong |
| Affiliation: | 1. School of Economy and Management, Shaoxing College of Arts and Science, Shaoxing 312000, China; 2. School of Management, Tianjin University, Tianjin 300072, China |
| Abstract: | The method for detecting and locating single structural change point using MCMC method is proposed. The method for detecting and locating multiple structural change points of continuous time models is also put forward. The method is proved to be effective and feasible by theoretical analysis and the structural change analysis of the return series of composite index of Shanghai stock markets. |
| Keywords: | structural change Markov Chain Monte Carlo Method Bayes Mathod likelihood ratio test |
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