金融时间序列中单位根的检验_在亚太地区主要股票市场中的应用_英文_.docVIP

金融时间序列中单位根的检验_在亚太地区主要股票市场中的应用_英文_ 201118J and Statistics Vol.27 No.4 Aug. 2011 Testing Unit Roots of Financial Time Series: An Application to Major Stock Markets ? in Asia-Pacific Area LU Zhiping (Research Center of International Finance and Risk Management, East China Normal University; School of Finance and Statistics, East China Normal University, Shanghai, 200241 ) Abstract In this article, we examine the daily structure of stock price indices in the major stock markets in Asia-Pacific area using fractional integrated techniques. According to the long memory charac- teristics of th