统计研究 ›› 1997, Vol. 14 ›› Issue (3): 70-72.
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徐剑刚
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Xu Jiangang
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Abstract: The paper has studied the statistical characteristics of reward time series, and found abnormality and dependency of futures reward with a thick tail distribution compared with that of normal one. In general a big functionation of futures reward immediately followed by a big one, and a little fluctuation followed by a little one, the variance changes over time. The study also has found that traditional AR model cannot fully describe the characteristics of futures reward time series while AR+ARCH can do better.
徐剑刚. 期货报酬时间序列统计特性[J]. 统计研究, 1997, 14(3): 70-72.
Xu Jiangang. The Statistical Characteristics of Futures Reward Time Series[J]. , 1997, 14(3): 70-72.
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https://tjyj.stats.gov.cn/CN/Y1997/V14/I3/70
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