高頻金融時間序列研究_回顧與展望_圖文

1、 第 1 期徐正國等 : 高頻金融時間序列研究 : 回顧與展望 67 24 Engle R . F . , Jeffrey R. Russell . Fo recasting the F requency of Chang es in Q uot ed F or eig n Ex chang e P rices w it h the A uto reg ressiv e Co nditio nal Dur atio n M odel J . Jour nal o f Empirica l F inance , 1997, 4: 187 212. 25 Eng le R. F . T he Ec

2、o nometr ics of U ltr a- Hig h Fr equency Data J . Eco no metr ica, 2000, 68( 1 : 1 22. 26 Ghy sels, E. and Jasiak, J. L o ng - ter m dependence in tr ading R . Penn State U niv ersity and Yo rk U niv er sity, 1998. 27 Zhang M . Y . , Russell J . R . T say R. S . A nonlinea r auto reg ressiv e co nd

3、itio nal dur atio n model w it h applicatio n t o financial tr ansa ct ion data J . Jour nal of Eco no metr ics, 2001, 104: 179 207. 28 Eng le R. F . , A sg er Lunde . T r ades and Q uo tes: A Bivar iat e Point Pr ocess J . U niver sity of Califor nia at San Dieg o , D epar tment o f Eco no mics , 1

4、998. Research on High-Frequency Financial Time Series : Past Development and Future Challenge XU Zheng-g uo , ZHANG Shiy ing ( M anagement S chool , T ianj in U niv ersity , Ti anj i n 300072, China Abstract: Hig h f requency dat a analysis and model ing is a new research field in financial economet

5、 rics . T he paper review s all t heories and empirical research of hig h-f requency dat a in int er nat ional literat ur es : hig h-f requency dat a s m odeling, calendar ef fect , realized v olat ilit y and ACD model, and po int s out it s pr obl em s. At last , t he paper discusses t he f ut ure research tr end. Key words : hig hf requency financial t ime ser ies; realized volat ility ; het erog eneous aut oreg ressive co ndit ional het ero sked