| 中国和国际汇率市场的多重分形比较 |
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| 引用本文： | 崔美兰,李汉东.中国和国际汇率市场的多重分形比较[J].北京师范大学学报(自然科学版),2011(5):546-550. |
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| 作者姓名： | 崔美兰 李汉东 |
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| 作者单位： | 北京师范大学管理学院; |
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| 摘 要： | 使用MF-DFA方法对中国汇率市场和国际汇率市场主要汇率的收益和波动的多重分形性质进行了实证分析,发现中国汇率市场和国际汇率市场的收益以及波动都存在明显的多重分形特征,且中国汇率市场的收益和波动的多重分形性质更为强烈.进一步验证了汇率收益以及波动序列的胖尾分布和长记忆性是多重分形产生的原因.
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| 关 键 词： | 汇率 多重分形 MF-DFA方法 收益 波动 |
A COMPARISON OF MULTI-FRACTAL CHARACTERISTICS OF CHINESE AND INTERNATIONAL EXCHANGE MARKETS |
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| CUI Meilan LI H,ong.A COMPARISON OF MULTI-FRACTAL CHARACTERISTICS OF CHINESE AND INTERNATIONAL EXCHANGE MARKETS[J].Journal of Beijing Normal University(Natural Science),2011(5):546-550. |
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| Authors: | CUI Meilan LI H ong |
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| Institution: | CUI Meilan LI Handong(School of Management,Beijing Normal University,100875,Beijing,China) |
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| Abstract: | The main exchange rate of Chinese and international exchange markets was analyzed with the MF-DFA method.Distinct multi-fractal characteristics in return and volatility,which performed especially strong in the Chinese market,were found.Further,it was verified that fat-tailed distribution and long-memory of exchange return and volatility series resulted in multi-fractal characteristics. |
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| Keywords: | exchange rate multifractal MF-DFA method return volatility |
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