| 自回归条件持续期(ACD)模型的统计特性分析 |
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| 引用本文： | 王玉玲,王晶,向东进.自回归条件持续期(ACD)模型的统计特性分析[J].江汉大学学报(自然科学版),2007,35(2):17-20. |
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| 作者姓名： | 王玉玲 王晶 向东进 |
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| 作者单位： | 天津商学院,理学院,天津,300134;中国地质大学,数理学院,武汉,430074 |
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| 基金项目： | 国家自然科学基金(60472062) |
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| 摘 要： | 从一簇新的关于超高频的金融时间序列模型ACD模型的统计特性入手,基于高频交易的模型的样本来探讨平稳过程的ACD模型的一些相关性质.这簇模型能为金融市场提供信息和依据.
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| 关 键 词： | ACD模型 失效率函数 随机过程 |
| 文章编号： | 1673-0143（2007）02-0017-04 |
| 修稿时间： | 2006-09-14 |
Analysis on Statistics Feature of Autoregressive Conditional Duration Model |
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| WANG Yu-ling,WANG Jing,XIANG Dong-jin.Analysis on Statistics Feature of Autoregressive Conditional Duration Model[J].Journal of Jianghan University:Natural Sciences,2007,35(2):17-20. |
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| Authors: | WANG Yu-ling WANG Jing XIANG Dong-jin |
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| Institution: | 1. School of Sciences, Tianjin University of Commerce, Tianjin 300134, China; 2. School of Mathematics and Physics, China University ofGeosciences, Wuhan 430074, China |
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| Abstract: | Start from the statistic property of ACD model which is a new financial time sequence model concerning UHF,based on the sample of the model of high-frequency transaction,to discuss relevant properties of ACD model in stationary process.The model can provide information and ref-erence to financial market. |
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| Keywords: | ACD model failure rate function random process |
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