超高频时间序列的分析、建模与应用

天津大学硕士学位论文金融市场高频/超高频时间序列的分析、建模与应用姓名：徐正国申请学位级别：硕士专业：技术经济与管理指导教师：张世英20040501金融市场高频/超高频时间序列的分析、建模与应用作者：徐正国学位授予单位：天津大学被引用次数：2次参考文献(122条)1.参考文献2.WorkingHArandom-differenceseriesforuseintheanalysisoftimeseries19343.CowlesACanstockmarketforecast19334.CowlesAStockmarketforecasting19445.CowlesA.JonesHESomeaposterioriprobabilitiesinstockmarketaction19376.BoxGEP.JenkinsGMTimeseriesanalysis:ForecastingandControl19767.EngleRFAutoregressiveconditionalheteroskedasticitywithestimatesofthevariancesofU.K.inflation19828.柯珂.张世英分整增广GARCH-M模型[期刊论文]-系统工程学报2003(1)9.TaylorSModellingfinancialtimeseries198610.GrangerCWJLongmemoryrelationshipsandtheaggregationofdynamicmodels198011.HoskingJRMFractionaldifferencing1981(01)12.BaillieRF.BollerslevTFractionallyintegratedgeneralizedautoregressiveconditionalheteroskedasticity199613.BreidtFJ.CratoNThedetectionandestimationoflongmemoryinstochasticvolatility199814.BollerslevT.RobertFEngleAcapital-assetpricingmodelwithtime-varyingcoefficients198815.EngleRF.KronerKFMultivariatesimultaneousgeneralizedARCH199516.BollerslevTOnthecorrelationstructureforthegeneralizedautoregressiveconditionalheteroskedasticprocess198817.BollerslevTModelingthecoherenceinshort-runnominalexchangerates:AmultivariategeneralizedARCHmodel199018.EngleRFAutoregressiveConditionalDuration:Anewmodelforirregularly-spacedtransactiondata199819.樊智.张世英多元GARCH建模及其在中国股市分析中的应用[期刊论文]-管理科学学报2003(2)20.苏卫东金融波动模型及其在中国股市的应用[学位论文]博士200221.EngleRF.RussellJRForecastingTransactionRates:theAutoregressiveConditionalDurationModel[NEBRWorkingPaper4966]199422.AndersenTG.TBollerslevDM-Dollarvolatility:IntradayActivityPatterns,Macroeconomicannouncements,andLongerrundependencies199823.EngleRFTheEconometricsofUltra-HighFrequencyData2000(01)24.O'HaraMMarketmicrostructuretheory199525.WrightJH.BollerslevTGHighfrequencydata,frequencydomaininferenceandvolatilityforecasting199926.AndersenTG.TBollerslevHeterogeneousinformationarrivalsandreturnvolatilitydynamics:uncoveringthelong-runinhighfrequencyreturns199727.DrostFC.TENijmanTemporalAggregationofGarchProcesses199328.DrostFC.BasJMWerkerClosingtheGARCHgap:ContinuoustimeGARCHmodeling199629.FrancqC.Jean-MichelZakoianEstimationweakGARCHrepresentations200030.KramerLAIntradaystockreturns,time-varyingriskpremiaanddiunjrnalmoodvariation200031.MullerMA.MichelMDacorognaAnalyzingtheDynamicsOfMarketComponents199732.DacorognaMM.UlrichAMullerModelingShort-TermVolatilitywithGARCHandHARCHModels199733.BallocchiG.MichelMDacorognaTheintradaymultivariatestructureoftheEurofuturesmarkets199934.McInishTH.WoodRAIntradayandovernightreturnsandday-of-the-weekeffect198535.AdmatiAR.PPfleidererAtheoryofintradaypatterns:volumeandpricevariability1988(01)36.BrockWA.KleidonAWPeriodicmarketclosureandtradingvolume199237.HedvallKTradeconcentrationhypotheses:anEmpiricaltestofinformationvs.demandmodelsontheHelsinkiStockExchange199538.HarrisLAtransactiondatastudyofweeklyandintradailypatternsinstockreturns198639.McInishTH.WoodRAAtransactiondataanalysisofthevariabilityofcommonstockreturnsduring1980～1984199040.McInishTH.WoodRAAnanalysisoftransactionsdatafortheTorontoStockExchange199041.McInishTH.WoodRAHourlyreturns,volume,tradesizeandnumberoftrades199142.CheungYIntradayreturnandday-endeffect:evidencefromtheHongKongEquityMarket199543.NiemeyerJ.SandasPAnempiricalanalysisofthetradingstructureattheStockholmStockExchange[WorkingPaper44,SockholmSchoolofEconomics]199544.ChanKCFongInformation,tradingandstockreturns:lessensfromduallylistedsecurities199645.WuC.XuXETheintradayrelationbetweenreturnvolatility,transaction,andvolume199946.WuC.XuXEReturnvolatilitytradingimbalanceandtheinformationcontentofvolume200047.DingDK.LauSTAnanalysisoftransactionsdatafortheStockExchangeofSingapore:Pattern,absolutepricechange,change,tradesizeandnumberoftransactions200148.RahmanS.LeeCFIntradayreturnvolatilityprocess:evidencefromNasdaqstocks200249.JainPC.JohG-HThedependencebetweenhourlypriceandtradingvolume198850.ChanK.ChanKCIntradayvolatilityinthestockindexandstockindexfuturesmarkets199151.GeretyMS.MulherinJHTradinghaltsandmarketactivity:ananalysisvolumeattheopenandtheclose199252.GeretyMS.MulherinJHPriceformationonstockexchange:theevolutionoftradingwithintheday199453.TezolmezHSIntradaypatternsinIstanbulStockExchangeindexandeffectofpublicinformationonreturnvolatility200054.BildikRIntra-dayseasonalitiesonstockreturns:evidencefromtheTurkishStockMarket200155.CopelandL.JonesSAIntradailypatternsintheKoreanindexfuturesmarket[外文期刊]200256.TBollerslevIntradayperiodicityandVolatilityPersistenceinFinancialMarkets199757.AndersenTG.TBollerslevDM-Dollarvolatility:IntradayActivityPatterns,Macroeconomicannouncements,andLongerrundependencies1998(53)58.AndersenTG.TBollerslevIntradayandinterdayvolatilityintheJapanesestockmarket200059.AndersenTG.TimBollerslevTestingMarketmicrostructureeffectsinintradayvolatility:AregressionoftheTokyoFXexperiment199860.DacorognaMM.UAMullerAGeographicalModelfortheDailyandWeeklySeasonalVolatilityintheForeignExchangeMarket1993(04)61.EderingtonLH.LeeJHHowmarketsprocessinforma