统计研究 ›› 2001, Vol. 18 ›› Issue (6): 47-49.
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吴长凤, 李花
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WU Chang-Feng, LI Hua
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Abstract: This paper determines the factors in the factor ARCH model of Principal Component Analysis. Thus the unknown parameters in the model become fewer. By modeling the model using this method, we give some empirical analysis of three representative stocks in our stock markets.
吴长凤, 李花. 因子多元ARCH模型的因子选择及其应用[J]. 统计研究, 2001, 18(6): 47-49.
WU Chang-Feng, LI Hua. Factor selection of the multi-factor ARCH model and the application [J]. , 2001, 18(6): 47-49.
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https://tjyj.stats.gov.cn/CN/Y2001/V18/I6/47
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