1.In this paper, from the idea of common trend, we put forward the definition of co persistence in volatility of vector SV model, and establish the equivalent relationship between common persistence in volatility and cointegration.
提出了向量随机波动模型波动协同持续 ( common persistence in volatility)的定义 ,证明了波动协同持续与协整 ( cointegration)两者之间的等价关系 ;
2.At 2003, Robert F. Engle and Clive WJ. Granger received the Nobel Prize, because their Cointegration theory had solved two difficult problems, the Time-Varying Volatility and Non-stationary in the time series analysis field.
2003年,诺贝尔经济学奖颁给了在时间序列计量经济学研究领域做出突破性贡献的两位美国经济学家,罗伯特·恩格尔(Robert F. Engle)和克莱夫·格兰杰(Clive WJ. Granger),以表彰他们提出的协整理论解决了时间序列分析中的两个难题,即异方差(Time-Varying Volatility)与非平稳性(Non-stationary)。
3.The corresponding models of realized volatility and realized covariance of time series of high-frequency finance are brought forward and the realized volatility-autoregressive and moving average (RV-ARMA) model and the realized volatility-vector autoregressive (RV-VAR) model are set up.
摘要对高频金融时间序列的“已实现”波动和“已实现”协方差提出相应的模型并建立“已实现”波动自回归移动平均模型和“已实现”波动向量自回归模型。
4.(1) The volatility of Chinese stock market is estimated based on the stochastic volatility model and Bayesian analysis using MCMC.
本文具体的研究内容与结论总结如下：（1）基于随机波动性模型和MCMC的贝叶斯分析方法估计了中国股票市场的波动性。
5.In order to empirically study the long-term trend of the volatility, the Campbell et al(2001)proposes a decomposition model which decomposes the volatility based on its causes of formation without the dependence on β.
Campbell等(2001)为实证研究市场的长期趋势特征提出了市场波动率分解模型,其特点是将波动率按成因进行分解并且该分解不依赖于β系数。
6.According to the extracting temperature, the multistage operation of HS-SPME was developed, that is the operation should apply relative high extracting temperature for low volatility substance, and apply relative low extracting temperature for high volatility substance.
基于以上，提出顶空固相微萃取的分段操作，针对高挥发度的待分析物质采用较低的萃取温度萃取，低挥发度的待分析物质采用较高的萃取温度萃取。
7.The method of modeling volatility persistence makes a breakthrough for the conventional methods of econometrics in which the risk of economic and finance is considered to be motionless as time changes. The method can accurately estimate the range of volatility risk so that one make it predict and control the future risk to some extant.
波动持续性的建模方法突破了基于静态的分析和描述风险的传统经济计量学建模的有关理论和方法,该方法从风险相关的角度研究风险的变化情况,力求准确量化风险的波动范围,进而达到预测风险和控制风险的目的。
8.Aimed at this case, this paper try to construct a simple stochastic volatility model— volatility following a finite Markov chain.
针对这种情况,本文试图建立一种比较简单的随机波动率模型——波动率服从有限马氏链的模型。
9.The dissertation, based on the corresponding research domain of modern econometrics and a variety of references, presents a full summary to the methods of modeling volatility which are very popular in the world. These methods are divided into two types, one is the autoregressive conditional heteroscedasticity (ARCH) models, another is the stochastical volatility (SV) models.
论文以当代经济计量学的相关研究领域为背景,在文献阅读的基础上,全面系统的总结了目前国际经济计量学界流行的关于波动持续性建模的两大类方法,即自回归条件异方差(ARCH)类模型和随机波动(SV)模型,介绍和总结了时间序列及其波动模型的单位根检验问题。
10.It shows that SV model based on GED can give better estimation to the index of two market when fat-tailed densities,volatility clusting and volatility persistence are taken into account in the conditional variance. In addition,ES can give better estimation to tail risk than VaR.
结果表明:基于GED分布的SV模型(SV-GED模型)较好地刻画了高频时间序列的尖峰肥尾性及波动集聚性与持续性等特性,并对两市指数进行较准确的预测,ES相比V aR能够较准确地估计尾部风险。
