| 道琼斯工业指数与纳斯达克指数的非线性协整分析 |
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| 引用本文： | 程细玉,陈余芳.道琼斯工业指数与纳斯达克指数的非线性协整分析[J].系统工程理论与实践,2004,24(7):116-120. |
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| 作者姓名： | 程细玉 陈余芳 |
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| 作者单位： | 国立华侨大学经济管理学院 |
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| 基金项目： | 国务院侨办资助课题(01QZR07) |
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| 摘 要： | 首先对道琼斯工业指数进行分整分析,长记忆的道指被分数维差分得到平稳时间序列;进而对纳指也进行分数维差分.由于两指数的分整阶数不同,故不存在线性协整关系,所以,文章着重讨论两指数的非线性协整关系.
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| 关 键 词： | 非线性协整 分整阶数 |
| 文章编号： | 1000-6788(2004)07-0116-05 |
| 修稿时间： | 2003年6月27日 |
Non-linear Cointegration Analysis on Dowjones Index and Nasdaq Index |
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| CHENG Xi-yu,CHEN Yu-fang.Non-linear Cointegration Analysis on Dowjones Index and Nasdaq Index[J].Systems Engineering —Theory & Practice,2004,24(7):116-120. |
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| Authors: | CHENG Xi-yu CHEN Yu-fang |
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| Affiliation: | The School of Economics and Management,Huaqiao University |
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| Abstract: | After fractional order differencing, the long momory series of Dowjones index and Nasdaq index become stationary, but the fractional order of two indexes is different, so there does not exist linear cointegration relation between them. We put special emphasis on the non-linear cointegration relation between Dowjones index and Nasdaq index. |
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| Keywords: | non-linear cointegration fractional integration order |
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