多分辨持续及协同持续研究.pdfVIP

2∞7 年 2 月 系统工程理论与实践 第 2 期 文章编号: 1 ∞0-6788(2∞7)02-∞36-10 多分辨持续及协同持续研究 许启发 1 ， 2 ，张世英 1 (1.天津大学管理学院，天津 3仪则72;2. 山东工商学院统计学院，烟台 2ω∞5) 摘要: 为刻画金融风险随时间尺度的变化关系，基于小波分析和脉冲响应分析，给出了多分辨持续及 多分辨协同持续的定义，扩展了先前有关波动持续及协同持续相关主题的讨论，分析了多分辨持续的三 种状态并论证了多分辨协同持续与协整之间的对应关系.这为描述金融风险的动态变化特征和消除其 影响提供了理论依据，并给出实证加以验证. 关键词: 波动持续;协同持续;多分辨;小波 中回分类号: 四24.0 文献标志码: A Reasearch on MultiResolution Persistence and Common Persistence 1 2 1 XU Qi_fa ? , ZHANG Shi-ying (1. Schω，1 of Management. Tianjin Unversity. Tianjin 3仪lO72 , China; 2. School of Statistics. Shandong Institute of Bussiness Technology , Yantai 264∞5 ， China) Abs位8Ct: In order to capt山e 出e changing relations of the financial risk wi由出 e time scale , the definition of multiresolution persistence and common persistence is put forward based on the wavelet and the impulse response 副咀lysis. 四e formely discussion about volatility persistence and common persistence has been expanded by 由 e new definition. In the article , three status of 由e persistence are discus随d ， and 由e corresponding relations between common pe四 istence and cointegraiton are demonstrated , which provide theor它tical foundation for describing the dynamic character of financial risk and removing its influence. Finally , the empirical study is conducted. Key words: volatility persistence; common persistence; multiresolution; wavelet 1 引言 自 Engle ( 1982 )创造性地提出自回归条件异方差