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中国股市的羊群效应的ARCH检验模型与实证分析
蒋学雷; 陈敏; 吴国富
2003
Source Publication数学的实践与认识
ISSN1000-0984
Volume033Issue:003Pages:56
Abstract本文提出一种检验羊群效应的方法,即通过检验个股截面收益的绝对偏差(CSAD)与市场收益的非线性关系。来判断羊群效应是否显著,并对我国沪深两市的羊群效应进行了实证分析,结果发现我国沪深两市存在一定程度的羊群效应。
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/49518
Collection应用数学研究所
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
蒋学雷,陈敏,吴国富. 中国股市的羊群效应的ARCH检验模型与实证分析[J]. 数学的实践与认识,2003,033(003):56.
APA 蒋学雷,陈敏,&吴国富.(2003).中国股市的羊群效应的ARCH检验模型与实证分析.数学的实践与认识,033(003),56.
MLA 蒋学雷,et al."中国股市的羊群效应的ARCH检验模型与实证分析".数学的实践与认识 033.003(2003):56.
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