A new approach to model financial markets

CSpace

	A new approach to model financial markets
其他题名	A NEW APPROACH TO MODEL FINANCIAL MARKETS
	Xie Habin 1; Wang Shouyang 2
	2013
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	26 期号:3 页码:432-440
摘要	This paper deals with the problem of how to take full use of prices information to model financial markets. A range decomposition technique is proposed to decompose the returns into two components. It is proved theoretically that these two components are bi-directional Granger causality, which makes it convenient to establish a vector autoregressive model (VAR). Both simulations and empirical studies are performed, and the results are consistent with the theoretical ones. The range decomposition approach presented in this paper is more efficient in information employment and suggests a new framework to model financial markets.
其他摘要	This paper deals with the problem of how to take full use of prices information to model financial markets. A range decomposition technique is proposed to decompose the returns into two components. It is proved theoretically that these two components are bi-directional Granger causality, which makes it convenient to establish a vector autoregressive model (VAR). Both simulations and empirical studies are performed, and the results are consistent with the theoretical ones. The range decomposition approach presented in this paper is more efficient in information employment and suggests a new framework to model financial markets.
关键词	SECURITY PRICE VOLATILITIES DOLLAR EXCHANGE-RATE TIME-SERIES ANALYSIS CONDITIONAL HETEROSKEDASTICITY VARIANCE MONEY RETURNS INCOME Granger causality range range decomposition VAR
收录类别	CSCD
语种	英语
CSCD记录号	CSCD:4908034
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/56984
专题	中国科学院数学与系统科学研究院
作者单位	1.对外经济贸易大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Xie Habin,Wang Shouyang. A new approach to model financial markets[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2013,26(3):432-440.
APA	Xie Habin,&Wang Shouyang.(2013).A new approach to model financial markets.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,26(3),432-440.
MLA	Xie Habin,et al."A new approach to model financial markets".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 26.3(2013):432-440.