铜陵学院学报
銅陵學院學報
동릉학원학보
JOURNAL OF TONGLING COLLEGE
2012年
1期
33-36
,共4页
BDS统计检验%非线性结构%混沌
BDS統計檢驗%非線性結構%混沌
BDS통계검험%비선성결구%혼돈
BDS statistical test%non-linear structure%the chaos
用BDS统计量进行实证检验,找到了我国证券市场对数收益率序列存在非线性结构的证据,并且通过稳定性分析和线性过滤后的BDS统计量检验,排除了由非平稳和线性依赖产生非线性结构的可能。说明我国证券市场的非线性结构类型只能是混沌或非线性随机过程。
用BDS統計量進行實證檢驗,找到瞭我國證券市場對數收益率序列存在非線性結構的證據,併且通過穩定性分析和線性過濾後的BDS統計量檢驗,排除瞭由非平穩和線性依賴產生非線性結構的可能。說明我國證券市場的非線性結構類型隻能是混沌或非線性隨機過程。
용BDS통계량진행실증검험,조도료아국증권시장대수수익솔서렬존재비선성결구적증거,병차통과은정성분석화선성과려후적BDS통계량검험,배제료유비평은화선성의뢰산생비선성결구적가능。설명아국증권시장적비선성결구류형지능시혼돈혹비선성수궤과정。
Through the BDS statistical test, the author discovered the evidence of the non-linear structure in the logarithmic return series of the China＇s stock market. And through stability analysis and the BDS statistical test after filtered linear, the author ruled out that the non-stationary and linear dependence are cause of the nonlinear structure. It is shows that the type of nonlinear structure in China＇s securities market only can be the chaos or nonlinear stochastic processes.
