| 汇率时间序列非线性特征分析及实证研究 |
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| 引用本文： | 谢赤,杨妮,孙柏.汇率时间序列非线性特征分析及实证研究[J].系统工程,2008,26(10). |
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| 作者姓名： | 谢赤 杨妮 孙柏 |
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| 作者单位： | 1. 湖南大学,工商管理学院,湖南,长沙,410082;湖南大学,金融与投资管理研究中心,湖南,长沙,410082
2. 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家社会科学基金重点资助项目
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全国高校青年教师奖励基金资助项目
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| 摘 要： | 为了更好地描述汇率行为特征,改善对其的短期预测能力,本文分析汇率时间序列的非线性依赖性.通过正态性检验和BDS统计检验,实证研究6种货币兑美元日汇率序列的非线性依赖性;在确定存在非线性依赖的基础上,对子样本序列及标准化序列进行BDS检验,试图确定非线性依赖的来源.结果表明,除欧元外其余5种货币兑美元的汇率序列均存在非线性依赖特征,其形式可能是混沌.
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| 关 键 词： | 金融市场 非线性依赖性 BDS统计检验 汇率时间序列 |
Analysis and Empirical Research on the Nonlinearity of Exchange Rate Time Series |
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| XIE Chi,YANG Ni,SUN Bo.Analysis and Empirical Research on the Nonlinearity of Exchange Rate Time Series[J].Systems Engineering,2008,26(10). |
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| Authors: | XIE Chi YANG Ni SUN Bo |
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| Institution: | XIE Chi1,2,YANG Ni1,SUN Bo1(1.College of Business Management,Hunan University,Changsha 410082,China,2.Center of Finance , Investment Management,China) |
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| Abstract: | In order to explore the intrinsic characteristics of exchange rates and improve its explanation and forecasting abilities,this paper analyze the nonlinearity dependence lying in the variable.Normal testing and BDS testing were applied to empirical research on six exchange rates among the whole samples.After the discoveries of the nonlinearities lying in the time series,BDS testing was also put on the sub-sample series and the normalized return series,to explore the origin of nonlinearity.The results reveal ... |
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| Keywords: | Financial Market Nonlinear Dependence BDS Test Exchange Rate Time Series |
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