基于金融高频数据的ACD模型非参数设定检验

统计研究 ›› 2007, Vol. 24 ›› Issue (4): 15-18.

基于金融高频数据的ACD模型非参数设定检验

徐国祥金登贵

上海财经大学应用统计研究中心

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2007-04-15 发布日期:2007-04-15

An Tests on Nonparametric Specification with Extensive ACD Model Based on the Financial High Frequency Data

XU Guo-xiang ;JIN Deng-gui

Received:1900-01-01 Revised:1900-01-01 Online:2007-04-15 Published:2007-04-15

摘要/Abstract

摘要： 目前关于ACD的实证研究已经十分丰富，却很少有人把注意力放在ACD及其扩展模型设定的检验上，本文采用的D检验就是通过衡量残差密度函数的参数和非参数估计值之间的紧密程度，来检验模型设定的优劣。

关键词: ACD模型, 设定检验, 密度函数

Abstract: Nowadays there are abundant demonstrations of the ACD Model, but few people focus on the test of the specification of extensive conditional duration models. The D test used in this paper is to testify whether the model was established appropriately by measuring the closeness between parametric and nonparametric estimates of the baseline density and hazard rate functions of the residuals.

Key words: ACD model, Specification tests, Density function

徐国祥金登贵. 基于金融高频数据的ACD模型非参数设定检验 [J]. 统计研究, 2007, 24(4): 15-18.

XU Guo-xiang, JIN Deng-gui. An Tests on Nonparametric Specification with Extensive ACD Model Based on the Financial High Frequency Data [J]. Statistical Research, 2007, 24(4): 15-18.

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