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国际股票市场价格波动长期记忆性分析——基于V/S经验数据的 被引量:9

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摘要 研究股市长期记忆性有助于预测股票价格,判定股市有效性和检验投资理论的理论背景。学者们通常采用经典R/S或修正R/S法观察股价的持续性,但是两法因检验角度不同,孰优孰劣尚无定论。文章采用新近提出的V/S分析法,以中国、美国、欧洲及亚洲其它主要股票市场的股票指数为研究对象,计算Hurst指数,并与经典R/S所得结果进行对比,证实了V/S分析法的改进性。
作者 张榕
出处 《当代经济》 2008年第4期156-157,共2页 Contemporary Economics
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