ARCH模型族的贝叶斯分析及其在经济中的应用
摘要
对ARCH模型族的估计,频率学派一般采用极大似然估计方法。GARCH模型对系数的一系列约束,使似然函数的数值最优化和参数的统计推断变得更复杂。然而,贝叶斯估计可以通过计算未知参数的后验分布的数值积分来实现模型的参数估计,基于参数的截断后验分布直接抽样,很容易处理GARCH模型的参数约束问题。随着MCMC方法的发展,贝叶斯分析方法在时间序列领域的应用越来越广泛。
本文从贝叶斯分析的角度出发,采用MCMC方法,对几类典型的GARCH模型进行了进一步的研究。其主要内容包括:
第一,ARCH模型族与MCMC方法的评述。本文回顾了贝叶斯理论进行时间序列分析的背景、理论和实际意义,综述了贝叶斯理论在时间序列方面的应用和国内外相关领域的研究现状;介绍了一种重要的贝叶斯计算方法——MCMC方法;回顾了ARCH模型族发展情况;对频率参数估计方法进行了评价。
第二,ARCH模型族的贝叶斯分析。本文从新的角度系统地研究ARCH模型族预测方法,拓展了贝叶斯统计研究的新领域。具体说,即从贝叶斯分析的角度出发,采用MCMC方法,建立了基于正态分布密度和混合正态分布密度的GARCH、GARCH-M、AGARCH、TGARCH、SW-GARCH预测模型,探讨了模型参数的贝叶斯估计,MCMC方法的数值计算,给出预测分布。
第三,ARCH模型族在经济中的应用。本文主要研究了两个问题:一是采用AGARCH模型研究了我国上证国债指数的波动性,揭示其“杠杆效应”;二是采用基于马尔可夫链转移的SW-GARCH模型研究了美元/人民币汇率的波动性,总结出具有参考价值的结论。
The classical estimation methods such as the maximum likelihood estimation (MLE)have been always employed to estimate the GARCH models.The classical methods are difficult to use in numerical optimization of the objective function,which is not necessarily convex.And constraints imposed on GARCH coefficients complicate statistical inference on the coefficients as well as the optimization rocedures.However, in the Bayesian approach,we compute integrals of the posterior distribution to estimate them instead of the maximum of the likelihood function.Besides,the constraints on GARCH coefficients are also easily handled by using the truncated posterior distribution of the GARCH coefficients.Meanwhile,with the development of MCMC method,the application of Bayesian analysis in time series theory will be wider and wider.
This paper discussed several typical ARCH models,form a Bayesian analysis point. The contents were as follows:
Firstly,we reviewed the background of the theory,summerized the documents on these aspects,analyzed the ARCH family of models systemically and their classification. We also showed the classical methods such as the BHHH algorithm and explained its disadvantages in detail.
Secondly,from a Bayesian view,we discussed serval models under the Normal distribution and Mixed Normal distribution assumption:GARCH,GARCH-M, AGARCH,SW-GARCH,TGARCH model.We used MCMC method to discuss the estimation of parameters,and then gave the forecasting distribution.
Finally,we focused on the application of ARCH family models.This paper discuss two issues:(ⅰ) discussed the volatility in Shanghai national bond index using AGARCH model,and demonstrated its "leverage effects";(ⅱ) made a comparation between GARCH and SWGARCH,found that the GARCH model showed a pseudo persistence, and built a SW-GARCH model.
本文从贝叶斯分析的角度出发,采用MCMC方法,对几类典型的GARCH模型进行了进一步的研究。其主要内容包括:
第一,ARCH模型族与MCMC方法的评述。本文回顾了贝叶斯理论进行时间序列分析的背景、理论和实际意义,综述了贝叶斯理论在时间序列方面的应用和国内外相关领域的研究现状;介绍了一种重要的贝叶斯计算方法——MCMC方法;回顾了ARCH模型族发展情况;对频率参数估计方法进行了评价。
第二,ARCH模型族的贝叶斯分析。本文从新的角度系统地研究ARCH模型族预测方法,拓展了贝叶斯统计研究的新领域。具体说,即从贝叶斯分析的角度出发,采用MCMC方法,建立了基于正态分布密度和混合正态分布密度的GARCH、GARCH-M、AGARCH、TGARCH、SW-GARCH预测模型,探讨了模型参数的贝叶斯估计,MCMC方法的数值计算,给出预测分布。
第三,ARCH模型族在经济中的应用。本文主要研究了两个问题:一是采用AGARCH模型研究了我国上证国债指数的波动性,揭示其“杠杆效应”;二是采用基于马尔可夫链转移的SW-GARCH模型研究了美元/人民币汇率的波动性,总结出具有参考价值的结论。
The classical estimation methods such as the maximum likelihood estimation (MLE)have been always employed to estimate the GARCH models.The classical methods are difficult to use in numerical optimization of the objective function,which is not necessarily convex.And constraints imposed on GARCH coefficients complicate statistical inference on the coefficients as well as the optimization rocedures.However, in the Bayesian approach,we compute integrals of the posterior distribution to estimate them instead of the maximum of the likelihood function.Besides,the constraints on GARCH coefficients are also easily handled by using the truncated posterior distribution of the GARCH coefficients.Meanwhile,with the development of MCMC method,the application of Bayesian analysis in time series theory will be wider and wider.
This paper discussed several typical ARCH models,form a Bayesian analysis point. The contents were as follows:
Firstly,we reviewed the background of the theory,summerized the documents on these aspects,analyzed the ARCH family of models systemically and their classification. We also showed the classical methods such as the BHHH algorithm and explained its disadvantages in detail.
Secondly,from a Bayesian view,we discussed serval models under the Normal distribution and Mixed Normal distribution assumption:GARCH,GARCH-M, AGARCH,SW-GARCH,TGARCH model.We used MCMC method to discuss the estimation of parameters,and then gave the forecasting distribution.
Finally,we focused on the application of ARCH family models.This paper discuss two issues:(ⅰ) discussed the volatility in Shanghai national bond index using AGARCH model,and demonstrated its "leverage effects";(ⅱ) made a comparation between GARCH and SWGARCH,found that the GARCH model showed a pseudo persistence, and built a SW-GARCH model.
引文
[1]Engle R.F..Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation[J].Econometrica,1982,50,pp:987-1008.
[2]Bollerslev T..Generalized Autoregressive Conditional Heteroscedasticity[J].Journal of Econometrics,1986,31,pp:307-27.
[3]王明照,郭冰.金融资产波动性特征研究回顾[J].经济学动态,2005(1).
[4]Litterman R B.Forecasting with Bayesian vector auto-regressions:Five years of experience [J].Journal of Business and Economic Statisties.1986,4(1),pp:5-15.
[5]Phillips P.C.B..Bayes models and forecasts of Australian macroeconomic time series[J].Cowles Foundation Paper 987,1994,pp:53-86.
[6]刘乐平,袁卫.现代贝叶斯分析与现代统计推断[J].经济理论与经济管理,2004(6).
[7]Engle,R.F.M,Lilien,D.M.and Robbins,R.P..Estimationg Time Varying Risk Premia in the Term Structure:the ARCH-M Model[J].Econometrica,1987,55,pp:391-408.
[8]Nelson D.B..ARCH models as diffusion approximations[J].Journal of Econometrics,1990,45,pp:7-38.
[9]Harvey,A.,Ruiz,E.and Sentana,E..Unobserved Component Time Series Models with ARCH Disturbances[J].Journal of Econometrics,1992,Vol(52),No.1-2,pp:129-157.
[10]Cai,J..A Markov Model of Switching Regime ARCH[J].Journal of Business and Economic Statistics,1994,12(3),pp:309-316.
[11]Hamilton J D.,Susmel R.Autoregressive conditional heteroskedasticity and changes in regime,1994(64).
[12]Hentschel,L.All in the Family Nesting Symmetric and Asymmetric GARCH Models[J].Journal of Financial Economics,1995(39),pp:71-104.
[13]Dacorogna.M.,Gauvreau.C.,Muller.U.,Olsen.R.and Pictat.O..Changing Time Scale for Short-Term Forecasting in Financial Markets[J].Journal of Forecasting,1996,15(3),pp:302-327.
[14]Dacorogna.M.,Gauvreau.C.,Muller.U.,Olsen.R.and Pictat.O..Modeling Short-Term Volatility with GARCH and HARCH models in Dunis(ed) Nonlinear Models of HF Financial Time Series,1998.
[15]Glosten,Jagaunathan and Runkle.On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks[J].The Journal of Finance,1993,VOL(48), NO.5,pp:193-209.
[16]Ding,Z.,Granger,C.and Engle,R..A Long Memory Property of Stork Market Returns and A New Models[J].Journal of Empirical Finance,1993,Vol(1),pp:83-106.
[17]Fornari F.A Mele.Sign and Volatility-Switching ARCH Models:Theory and Applications to International Stock Markets[J].Journal of Applied Econometrics,1997,2,pp:49-56.
[18]Engle,R..Discussion:Stock Market Volatility and the Crash of 87.Review of Financial Studies,1990,Vol.(3),pp:103-106.
[19]Sentana,E.Quadratic ARCH Models[J].Review of Economic Studies,1995,Vol(62),pp:639-661.
[20]Zakoian J.M..Threshold ARCH models and asymmetries in volatility[J].Journal of applied economitrics,1993,Vol.8,pp:31-49.
[21]Zakoian J.M..Threshold Heteroscedastic Models[J].Journal of Economic Dynamics and Control,1994,18,pp:931-955.
[22]Zakoian J.M..Threshold Heteroskedastic Models[R].Manuscript,CREST,INSEE,Paris,1990.
[23]Engle,R.F.,Bollerslev,T.Modeling the Persistence of Conditional Variances[J].Econometric Reviews,1986(05),pp:81-87.
[24]Baillie,R.T.,Bollerslev,T.and Mikkelsen,H.O..Fractionally integrated generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1996,74,pp:3-30.
[25]Modeling and Pricing Long Memory in Stock market volatility[J].Journal of Econometrics,1996,73,pp:151-184.
[26]Zumbach,G.,.Volatility processes and volatility forecast with long memory.Working paper,Consulting in Finanic,2003.
[27]Engle,R.F.& Ng.,V.K.Measuring and Testing the Impact of News on Volatility[J].Journal of Finance,1993,48,pp:1749-1778.
[28]Fornari,F.and A.Mele.Sign-and Volatility-Switching ARCH Models:Theory and Applications to International Stock Markets[J].Journal of Applied Econometrics,1997,12,PP:49-65.
[29]Michael D.Mackenzie,Heather Mitchell.Power ARCH modeling of commodity futures data on the London Metal Exchange[J].The European Journal of Finance,Routledge,part of the Taylor & Francis Group,2001,March 1,Volume 7,Number 1,pp:22-38.
[30]D.E.Allen and S.N.Cruickshank,Empirical Testing of the Samuelson Hypothesis:An Application to Futures Markets in Australia,Singapore and the UK[R].Working Paper,School of Finance and Business Economicss,2002,Oct.
[31]Rita Madarassy Akin.Maturity Effects in Futures Markets:Evidence from Eleven Financial Futures Markets[R].Santa Cruz Center for International Economics,Working Paper Series,2003.
[32]Baille,R.T.& Myers,R.J.Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge[J].Journal of Applied Econometrics,1991 vol(6),pp:109-24.
[33]马超群.自回归条件异方差模型与汇率变动分析[J].系统工程,1997(5).
[34]王安兴,孙琼,林少宫.中国外汇市场波动分析[J].统计研究,1998(1).
[35]叶阿忠,李子奈.我国通货膨胀的混合回归和时间序列模型[J].系统工程理论与实践,2000(9).
[36]闫冀楠,张维.关于上海股市收益分布的实证研究[J].系统工程,1998(1).
[37]胡海鹏,方兆本.股市波动性预测模型改进研究[J].数理统计与管理,2004(5).
[38]陈千里,周少甫.上证指数收益的波动性研究[J].数量经济技术经济研究,2002(6).
[39]王玉荣.中国股票市场波动性研究-ARCH模型族的应用[J].河南金融管理干部学院学报,2002(5).
[40]李双成,王春峰.中国股票市场价格波动与交易量关系的贝叶斯分析[J].西北农林科技大学学报(社会科学版),2003(3)
[41]蒋学雷,陈敏,吴国富.中国股市板块现象与羊群效应的实证研究[J].系统工程理论及其应用,2004(12).
[42]王亚娟.基于ARFIMA-ARCH模型的股市应用[M].昆明理工大学硕士论文,2007.
[43]徐剑刚.期货报酬时间序列统计特性[J].统计研究,1997(3).
[44]华仁海,仲伟俊.我国期货市场期货价格收益、交易量、波动性关系的动态分析[J].统计研究,2003(7).
[45]冯春山,吴家春,蒋馥.国际石油市场的ARCH效应分析[J].石油大学学报(社会科学版),2003(2).
[46]叶舟,李忠民,叶楠.期货市场交易量与收益率及其波动关系的实证研究[J].系统工程,2005(4).
[47]邵延平.GARCH模型对期铜市场风险的研究[J].运筹与管理,2007(4).
[48]Zellner A..On the Bayesian estimation of multivariate regression[J].Journal of royal statistical society B,1964,26(2),pp:277-285.
[49]Zellner A..Bayesian estimation and Prediction using asymmetric loss fimctions[J].Journal of American Statistical Association,1986,81(2),pp:446-451.
[50]Zellner A.,Chong C..Forecasting international growth rates using Bayesian shrinkage and other Procedures[J].Journal of Econometries,1989,40(2),pp:183-202.
[51]Zellner A.,Min C..Gibbs sampler convergence criteria[J].Journal of American statistical association,1995(2),pp:763-778.
[52]Monahan J.F..Fully Bayesian analysis of ARMA time series models[J].Journal of Econometries,1983,21(2),pp:307-331.
[53]Bayes T..An essay towards solving a problem in the doctrine of chances[J].Philos.Trans.R.Soe.53,370-418.Reprinted in Biometrika,1958,45(2),pp:293-315.
[54]Bauwens L.,Lubrano M..Bayesian inference on GARCH models using the Gibbs sampler [J].The Econometrics Journal,1998(1),pp:47-61.
[55]West M.,Harrison J..Bayesian forecasting and dynamic models[J].2nd edition.NewYork:Springer,1997.
[56]Berger J.O..Bayesian Analysis:A Look at Today and Thoughts of Tomorrow[J].Journal of the American Statistical Association,2000,95(30),pp:1269-1276.
[57]Franses P.H.,Hoke H.,Pap R..Bayesian analysis of seasonal unit root and means shifts[J].Journal of Econometrics,1997(3),pp:359-380.
[58]Hoek H.,Lucas A.,Van Dijk H.K..Classical and Bayesian aspects of robust unit root inference[J].Journal of Econometrics,1995,69(1),pp:27-59.
[59]Lubrano M..Testing for unit roots in a Bayesian framework[J].Journal of Economtrics,1995,69(1),pp:81-109.
[60]Schotman P.C.,Van Dijk H.K..A Bayesian analysis of the unit root hypothesis in real exchange rates[J].Journal of Econometrics,1991(6),pp:195-238.
[61]Schotman P.C.,Van Dijk H.K..A Bayesian analysis of the unit root hypothesis in real exchange rates[J].Journal of Econometrics,1991(6),pp:195-238.
[62]Sehotman P.C.,Van Dijk H.K..On Bayesian routes to unit roots[J].Joumal of Applied Econometrics,1991(6),pp:387-401.
[63]Sims C.A..Bayesian skepticism on unit root econometrics[J].Journal of Economies Dynamics and Control,1988(4),pp:463-474.
[64]Sims C.A.,T.Z..Bayesian methods for dynamic multivariate models[J].International Economic Review,1998,39(4),pp:949-968.
[65]Uhlig H..Bayesian vector auto-regressions with stochastic volatility[J].Econometrica,1997,65(1),pp:59-73.
[66]Litterman R.B.Forecasting with Bayesian vector auto-regressions:Five years of experience[J].Journal of Business and Economic Statisties,1986,4(1),pp:5-15.
[67]Kasuya M,Tanemura T.Small scale Bayesian VAR modeling logistic diffusion.Journal of Forecasting,2002,20(2):246-253.
[68]Rangan Gupta.Forecasting the South African economy with VARs and VECMs[J].South African Journal of Economics,2006(74),pp:611-628.
[69]Holden K.,Broomhead A..An examination ofvertorauto-regressive forecasts for the U.K.[J].Economy,1990,6(1),pp:11-23.
[70]Amisano G.,Serati M..Forecasting co-integrated series with BVAR models[J].Journal of Forecasting,1999,18(3),pp:463-476.
[71]Koop,G.,International properties of real output:Bayesian analysis,Journal of Business[J].Economical Statistics,1991,20(12),pp:1898-1908.
[72]Koop qosiewalski J.,Steel M.F.J..Bayesian long-run Prediction in time series model[J].Journal of Econometries,1995,69(1),pp:61-80.
[73]Koop G.,Potter S.M..Bayes factors and nonlinearity:evidence from economic time series[J].Journal of Econometrics,1999(88),pp:251-281.
[74]Koop G..Bayesian analysis,computation and communication software[J].Journal of applied econometrics,1999(14),pp:677-689.
[75]中国贝叶斯向量自回归(BVAR)预测模型[M].北京:中国社会科学院数量经济与技术经济研究所经济模型集,200 1.
[76]朱慧明,韩玉启.正态-Wishart先验分布下多重线性回归模型的贝叶斯估计[J].南京理工大学学报(自然科学版).2002,26(4).
[77]朱慧明,韩玉启,吴正刚.多重线性回归模型的贝叶斯预测分析[J].运筹与管理,2005(14).
[78]郑进城,朱慧明.基于MCMC方法的贝叶斯AR(p)模型分析[J].统计与决策,2005(10).
[79]朱慧明,刘智伟.时间序列向量自回归模型的贝叶斯推断理论[J].统计与决策,2004(1).
[80]茆诗松.贝叶斯统计学[M].北京:中国统计出版社,1999.
[81]张尧庭.贝叶斯统计推断[M].北京:科学出版社,1991.
[82]朱慧明.现代经济管理中的线性贝叶斯推断理论与多总体贝叶斯分类识别方法研究[D],2003.
[83]Kalos M.H.and Witelock P.A..Monte Carlo Methods[M].John Wiley&Sons,Inc.,1986.
[84]Hastings W.K..Monte Carlo sampling methods using Markov Chains and their applications [J].Biometrika,1970,57(1),pp:72-89.
[85]Geman S.,Geman D..Stochastic relaxation,Gibbs distribution and the Bayesian restoration of images[J].IEEE Tansactions on Pattern Analysis and Machine intelligence,1984,6,pp:721-741.
[86]Gelfand A.E.,Smith A.F.M..Sampling based on approaches to calculating marginal densities[J].Journal of American Statistical Association,1990,85(2),pp:339-355.
[87]Gupta A.K.,Nagar D.K..Matrix variate distributions[M].London:Chapman & Hall,2000.
[88]陈浪南,黄杰鲲.中国股票市场波动非对称性的实证研究[J].金融研究,2002(5).
[89]Zakoian J.M..Threshold heteroskedastic models[J].Journal of Economic Dynamics and Control,1994,18,pp:931-955.
[90]Higgens M.L.,Bera A.K..A class of nonlinear ARCH models[J].International Economic Review,1992,33,pp:137-158.
[91]Ding Zhuanxin,Granger C.W.J..Modelling volatility persistence of speculative returns:A new approach[J].Journal of Econometrics,1996,(73),pp:185-215.
[92]Duan Jin-Chun.Augmented GARCH(p,q) Process and its diffusion limit[J].Journal of Econometrics,1997,(79),pp:97-127.
[93]Baillie R.T.,Bollerslev T.,Mikkelsen H.,Fractional autoregressive conditional heteroskedasticity Econometrics[J].Journal of Econometrics,1996,74,pp:3-30.
[94]Bollerslev T.,Mikkelsen H.O..Modelling and Pricing long memory in stock market volatility[J].Journal of Econometris,1996,73,pp:151-184.
[95]Weiss A.A..ARMA Model with ARCH Errors[J].Journal of Time Series Analysis,1984,5,pp:129-143.
[96]曾慧芳.自回归条件异方差模型的贝叶斯分析及其应用研究[D],湖南大学硕士论文,2007.
[97]Terence C.Mills.The Econometric Modeling of Financial Time Seriess[M].2nd ed.Cambridge University Press,1999.
[98]Shephard N..Statistical Aspects of ARCH and Stochastic Volatility in time series Models in Econometrics,Finance and Other Fields,eds.D.R.Cox,D.V.Hinkley,and O.E.Barndorff-Nielsen[M],London:Chapman & Hall,1996,pp:1-55.
[99]Geweke J..Exact predictive densities in linear models with ARCH disturbances[J].Journal of Econometrics,1989,40,pp:63-86.
[100]Kleibergen E.and H.K.van Dijk.Non-stationarity in GARCH models:a Bayesian analysis[J].Applied Econometrics,1993,8(supplement),pp:41-61.
[101]Geweke J.Bayesian comparison of econometric models.Working paper 532.Research Department,Federal Reserve Bank of Minncapolis,1994.
[102]Teruo Nakatsuma.A Markov-Chain Sampling Algorithm for GARCH models[J].Studies in Nonlinear Dynamics and Econometrics,2000,3(2),pp:107-117.
[103]Teruo Nakatsuma.Bayesian analysis of ARMA-GARCH models:A Markov chain sampling approach[J].Journal of Econometrics,2000.
[104]L.Bauwens and J.V.K.Rombouts.Bayesian Inference for the Mixed Conditional Heteroskedasticity Model[J].Econometrics Journal,2007(10),pp:408-425.
[105]Engle R.F.,Bollerslev T..Modelling the Persistenee of conditional variances[J].Econometric Reviews.(5)1986,pp:81-87.
[106]Domowitz I.and Hakkio C.S..Conditional Variance and the Risk Premium the Foreign Exchange Market[J].Journal of International Economics,1985,19,pp:47-66.
[107]French K.R.,Schwert G.W.and Stambaugh R.F..Expected Stock Returns and Volatility[J].Journal of Financial Economics,1987,19,pp:3-29.
[108]Bollerslev T.,Chou R.Y.and Kroner K.F..ARCH Model in Finance:A Review of the Theory and Empirical Evidence[J].Journal of Econometrics,1992,52,pp:5-59.
[109]李双成,王春峰.中国股票市场量价关系的实证研究[J].山西财经大学学报,2003,25(3).
[110]王洪礼,李胜朋,李栋.GARCH-M模型的沪市险值实证研究[J].天津大学学报,2005,7(5).
[111]姚燕云.改进的GARCH-M模型在股市风险分析中的应用[J].绍兴文理学院学报,2006,26(7).
[112]张俊杰.中国证券投资基金市场收益与波动的实证研究—基于GARCH和GARCH-M 模型[J].金融市场,2006(12).
[113]郑秀田.基于GARCH-M模型的黄金市场风险与收益关系研究[J].黄金市场,2008,29(5).
[114]袁志湘,邓少春,谢腾云.基于GARCH-M模型的中国股市量价关系研究[J].金融经济,2008(6).
[115]吴硕思,方兆本.非对称广义自回归条件异方差的新模型[J].应用概率统计,2000(16).
[116]AGARCH模型和多维常数相关GARCH模型的统计分析[D].西北工业大学硕士论文,2004,PP:50-52.
[117]唐旭.中国国债市场金融功能分析[J].新金融,2005(4).
[118]Tong H.,Threshold Models in Non - linear Time Series Analysis[M].New York:Springer-Verlag,1983.
[119]Timmerman A..Structural breaks,incomplete information,and stock prices,Journal of Business and Economic Statistics,2000,pp:299-315.
[120]李松臣,张世英.变结构门限t-GARCH模型及其伪持续性研究[J].数量经济技术经济研究,2006(7).
[121]李松臣,张世英.多元变结构门限GARCH模型的伪协同持续性研究[J].系统工程理论与实践,2007(10).
[122]L.Bauwens,A.Preminger and J.Rombouts.Regime Switching Garch Models, discussion paper,2006(6).
[123]Poon S.,Granger C..Foreasting volatility in financial markets:a review[J].Journal of Economic Literature,2004.
[124]吴长凤.ARCH模型及其应用研究[D].北京:中国科学院数学与系统科学研究所博士学位论文,2000.
[125]Bollerslev T..Modeling the coherence in short-run nominal exchange rates:A multivariate generalized ARCH approach[J].Review of Economics and Statistics,1990,72,pp:498-505.
[126]Wang P.& P.Wang.Foreign Exchange Market Volatility in Southeast Asia[J].Asia-Pacific Financial Markets,1999,6,pp:235-252.
[127]Wang,P.& P.Wang.Equilibrium Adjustment,Basis Risk and Risk Transmission in Spot and Forward Foreign Exchange Markets[J].Applied Financial Economics,2001,11,pp:127-136.
[128]Colm,Patton,Andrew J..Kearney.Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System[J].Financial Review,2000,35(1),pp:29-48.
[129]McCarthy J..Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies[J].BIS Working Paper,1999,No.79.
[130]Menon J.Exchange Rate Pass-through[J].Journal of Economic Survey,1995,Vol.(9),No.2,pp:197-231.
[131]Dornbusch R..Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84,PP:1161-1176.
[132]Goldfajn I.,and Werlang S.R.C..The Pass-through fi'om Depreciation to Inflation:A Panel Study[J].Banco Central de Brasil Working Paper,2000,No.5.
[133]Kim,Ki-Ho.US Inflation and the Dollar Exchange Rate:A Vector Error Correction Model[J].Applied Economics,1998,Vol.(30),pp:613-619.
[134]Leith J.C..The Exchange Rate and the Price Level in a Small Open Economy:Botswana[J].Journal of Policy Modeling,1991,Vol.(13),No.2,pp:309-315.
[135]Liu J.,LI W.K.,Li C.W..On a threshold autoregressive with condition heteroscedastic variances[J].J Statist Plan Inf,1997,62,pp:279-300.
[136]Cassel G..Abnormal Deviations in International Exchanges[J].Economic Journal,1918,Vol.(28),pp:413-415.
[137]Dornbusch R..Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84,pp:1161-1176.
[138]Engle R.F..Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation[J].Econometrica,1982,50.
[139]Johansen S..Likelihood-Based Inference in Cointegrated Vector Autoregressive Models[J].Oxford:Oxford University Press,1995.
[140]Lidless D.and Parking M..Inflation:A Survey[J].Economic Journal,1975,Vol.(85),December,pp:741-809.
[141]McCarthy J..Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies[J].BIS Working Paper,1999,No.79.
[142]McKinnon,Ronald I.and Kenichi Ohno.Dollar and Yen:Resolving Economic Conflict Between the United States and Japan[J].Massachusetts Institute of Technology,1997.
[143]Menon J..Exchange Rate Pass-through[J].Journal of Economic Survey,1995,Vol.(9),No.2,pp:197-231.
[144]Mills T.C.The Econometric Modeling of Financial Time Series[J].second edition,Cambridge:17,Cambridge University Press,1999.
[145]Samuelson P.A..Theoretical Notes on Trade Problems[J].Review of Economics and Statistics,1964,Vol.(46),pp:145-154.
[146]Wing T.Woo and Peter Hooper.Exchange Rate and the Prices of Nonfood,Nonfuel Products[J].Brookings Papers on Economic Activity,1984,Vol.(1984),No.2,pp:511-536.
[147]Campell J.,Hentschel L..No News is good news:Asymmetric model of changing volatility in stock returns[J].Unpublished Manuscript,1992,Princeton University.
[148]Koutmos Booth.Asymmetric volatility transmission international stock markets[J].Journal of International Money and Finance,1995,14,pp:747-762.
[149]Koutmos.Modeling the Dynamic Interdependence of major European stock markets[J].Journal of Business Finance and Accounting,1996,23,pp:975-988.
[150]Nelson D..Conditional heteroskedasticity in asset returns[J].Economet rica,1991,59,pp:349-370.
[151]Jorison P..Value at risk:the new benchmark for cont rolling market risk[M].New York:The McGraw-Hill Companies,1997.
[152]Kupiec P.H..Techniques for verifying the accuracy of risk measurement model[J].The Journal of Derivatives,1995,(2).
[153]Collin-Dufresne P.,Solnik B..On the term st ructure of default premia in the swap and LIBOR markets[J].Journal of Finance,2001,56,pp:1095-2015.
[154]Huang J.,Huang M..How much of the Corporate-treasury yield spread is due to credit risk[J].Working paper,2003.
[155]Karatzas I.,Kou S..On the pricing of contingent claims under const raints[J].The Annuals of Applied Probability,1996,6,pp:321-369.
[156]Karatzas I.,Shreve S..Methods of mathematical finance[M].Springer,2001.
[157]Longstaff F.,Schwartz E..A Simple approach to valuing risky fixed and floating rate debt[J].Journal of Finance,1995,50,pp:789-820.
[158]Merton R..On the pricing of corporate debt:the risk st ructure of interest rates[J].Journal of Finance,1974,29,pp:449-470.
[159]Karolyi G.A..A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility:The Case of the United States and Canada[J].Journal of Business and Economic Statistics,1995,13,pp:11-25.
[160]Longin F.,and B.Solnik.Is correlation in international equity returns constant:1960-1990?[J].Journal of International Money and Finance,1995,14,pp:3-26
[161]Bernake B.,Kuttner K..What explains the stock market's reaction to Federal reserve policy?[J].Journal of Finance,2005,60,pp:1221-1257.
[162]Boyd J.,Hu J.,Jagannathan R..The stock market's reaction to unemp loyment news:why bad new s is usually good for stocks[J].Journal of F inance,2004,62,pp:649-672.
[163]Flannery M..Protopapadak is A.Macroeconomic factors do influence aggregate stock returns[J].Review of Financial Studies,2002,15,pp:751-782.
[164]Jones C,Lamont O.,Lumsdaine R..Macroeconomic news and bond market volatility[J].Journal of Financial Economics,1998,47,pp:315-337.
[165]Bernanke B.S.,Blinder A.S..Federal funds rate and the channels of monetary transmission[J].American Economic Review,1992,82,pp:901-921.
[166]Grier K.,Perry M..Inflation,inflation uncertainty,and relative price dispersion:evidence from bivariate GARCH-M model[J].Journal of Monetary Economics,1996,38,pp:391-405.
[167]Adams G.,McQueen G,Wood R..The effects of inflation news on high frequency stock returns[J].Journal of Business,2004,77,pp:547-574.
[168]Granger C.W.J..Forecasting stock market prices:Lessons for forecasters[J].International Journal of Forecasting,1992,8,pp:3-13.
[169]Bollerslev T,Kikkelsen H.O..Modeling and pricing long-memory in stock market volatility[J].Journal of Econometrics,1996,73,pp:151-184.
[170]Bollerslev T.,Chou R.Y.,Kroner K.F..ARCH Modeling in Finance:A review of the theory and empirical evidence[J].Journal of Econometrics,1992,52,pp:5-59.
[171]Abraham A.,and Ikenberry D..The individual investor and the weekend effect[J].Journal of Financial and Quantitative Analysis,1994,29,pp:263-277.
[172]Kiymaz H.,and Berument H..The day of the week effect on stock market volatility and volume:International evidence[J].Review of Financial Economics,2003,12,pp:363-380.
[173]Baker K..The day-of-the-week effect and conditional volatility:Sensitivity of error distributional assumptions[J].Review of Financial Economics 2007,9(3).
[174]Glassman D..Exchange rate risk and transactions costs:Evidence from bid-ask spreads[J].Journal of International Money and Finance,1987,6,pp:479-490.
[175]Corhay A.,and Fatemi A..On the presence of a day-of-the-week effect in the foreign exchange market[J].Managerial Finance,1995,21,pp:32-43.
[176]Tang G.Impact of the day-of-the-week effect on diversification and exchange rate risks[J].International Business Review,1997,6,pp:35-51.
[177]Ho Y.Stock Return Seasonalities in Asia Pacific Markets[J].Journal of International Financial Management and accounting,1990,2,pp:44-77.
[178]Choudhry T..Day of the week effect in emerging Asian markets:Evidence from the GARCH model[J].Applied Financial Economics,2000,10,pp:235-242.
[179]Connolly R..A posterior odds analysis of the week-end effect[J].Journal of Economet rics,1991,49,pp:51-104.
[180]Chang E.,Pinegar M.,& Ravichandran R..International evidence on the robustness of the day-of-the-week effect[J].Journal of Financial and Quantitative Analysis,1993,28,pp:497-513.
[181]Peiro A..Daily seasonality in stock returns:Further international evidence[J].Economics Letters,1994,45,pp:227-232.
[182]Aggrawal R.,and Mehdian S..Day-of-the-week regularities and their higher moments in futures market[J].American Business Review,2003,21,pp:47-53.
[183]G.Schwert..Anomalies and market efficiency[C].Handbook of the Economics of Finance,2003,pp:937-972.
[184]Yamori N.,& Kurihara Y.The day-of-the-week effect in foreign exchange markets:Multi-currency evidence[J].Research in International Business and Finance,2004,18,pp:51-57.
[185]Chen G.The day of the week regularity in the stock markets of China[J].Journal of Multinational Financial Management,2001,11,pp:139-163.
[186]Cheung Y,R.Y Ho,P.Pope and P.Draper.Intraday Stock Return Volatility:The Hong Kong Evidence[J].Pacific-Basin Finance Journal,1994(2),pp:261-276.
[187]Choe H.,Shin H.S..An analysis of intraday and intraday return volatility evidence from the Korea Stock Exchange[J],Pacific-Basin finance Journal,1993(1),pp:175-188.
[188]Frino A.,Lau S.T.,Mclnish T..What is the best way of opening an electronic market ?[J].ASX Perspective 1st Quarter,1996,48-51.
[189]Lockwood L.J.,Linn S.C.An examination of stock market return volatility during over night and intraday Periods,1964-1989[J].Journal of Finance,1990(45),pp:591-601.
[190]Madhavan Ananth.Market Microstructure:A Survery[J].Journal of Financial Intremediation,2000,(5),pp:255-283.
[191]Naidu G.N.and Michael S.Rozeff.Volume,volatility,liquidity and efficiency of the Singapore Stock Exchange before and after automation[J],Pacific-Basin finance Journal,1994(2),pp:23-42.
[192]Stoll Hans R.and Robert E..Whaley,Stock market structure and volatility[J],Review of Finance Studies,1990(3),pp:37-71.
[193]姜波克,陆前进.汇率理论和政策研究[M].上海:复旦大学出版社,2000.
[194]朱慧明,韩玉启.贝叶斯多元统计推断理论[M].科学出版社,2006,112-120.
[195]Ling S..On the probabilistic properties of a double-threshold ARCH conditional heteroskedasticity model[J].Journal of Applied probability,1999,36,pp:1-18.
[2]Bollerslev T..Generalized Autoregressive Conditional Heteroscedasticity[J].Journal of Econometrics,1986,31,pp:307-27.
[3]王明照,郭冰.金融资产波动性特征研究回顾[J].经济学动态,2005(1).
[4]Litterman R B.Forecasting with Bayesian vector auto-regressions:Five years of experience [J].Journal of Business and Economic Statisties.1986,4(1),pp:5-15.
[5]Phillips P.C.B..Bayes models and forecasts of Australian macroeconomic time series[J].Cowles Foundation Paper 987,1994,pp:53-86.
[6]刘乐平,袁卫.现代贝叶斯分析与现代统计推断[J].经济理论与经济管理,2004(6).
[7]Engle,R.F.M,Lilien,D.M.and Robbins,R.P..Estimationg Time Varying Risk Premia in the Term Structure:the ARCH-M Model[J].Econometrica,1987,55,pp:391-408.
[8]Nelson D.B..ARCH models as diffusion approximations[J].Journal of Econometrics,1990,45,pp:7-38.
[9]Harvey,A.,Ruiz,E.and Sentana,E..Unobserved Component Time Series Models with ARCH Disturbances[J].Journal of Econometrics,1992,Vol(52),No.1-2,pp:129-157.
[10]Cai,J..A Markov Model of Switching Regime ARCH[J].Journal of Business and Economic Statistics,1994,12(3),pp:309-316.
[11]Hamilton J D.,Susmel R.Autoregressive conditional heteroskedasticity and changes in regime,1994(64).
[12]Hentschel,L.All in the Family Nesting Symmetric and Asymmetric GARCH Models[J].Journal of Financial Economics,1995(39),pp:71-104.
[13]Dacorogna.M.,Gauvreau.C.,Muller.U.,Olsen.R.and Pictat.O..Changing Time Scale for Short-Term Forecasting in Financial Markets[J].Journal of Forecasting,1996,15(3),pp:302-327.
[14]Dacorogna.M.,Gauvreau.C.,Muller.U.,Olsen.R.and Pictat.O..Modeling Short-Term Volatility with GARCH and HARCH models in Dunis(ed) Nonlinear Models of HF Financial Time Series,1998.
[15]Glosten,Jagaunathan and Runkle.On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks[J].The Journal of Finance,1993,VOL(48), NO.5,pp:193-209.
[16]Ding,Z.,Granger,C.and Engle,R..A Long Memory Property of Stork Market Returns and A New Models[J].Journal of Empirical Finance,1993,Vol(1),pp:83-106.
[17]Fornari F.A Mele.Sign and Volatility-Switching ARCH Models:Theory and Applications to International Stock Markets[J].Journal of Applied Econometrics,1997,2,pp:49-56.
[18]Engle,R..Discussion:Stock Market Volatility and the Crash of 87.Review of Financial Studies,1990,Vol.(3),pp:103-106.
[19]Sentana,E.Quadratic ARCH Models[J].Review of Economic Studies,1995,Vol(62),pp:639-661.
[20]Zakoian J.M..Threshold ARCH models and asymmetries in volatility[J].Journal of applied economitrics,1993,Vol.8,pp:31-49.
[21]Zakoian J.M..Threshold Heteroscedastic Models[J].Journal of Economic Dynamics and Control,1994,18,pp:931-955.
[22]Zakoian J.M..Threshold Heteroskedastic Models[R].Manuscript,CREST,INSEE,Paris,1990.
[23]Engle,R.F.,Bollerslev,T.Modeling the Persistence of Conditional Variances[J].Econometric Reviews,1986(05),pp:81-87.
[24]Baillie,R.T.,Bollerslev,T.and Mikkelsen,H.O..Fractionally integrated generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1996,74,pp:3-30.
[25]Modeling and Pricing Long Memory in Stock market volatility[J].Journal of Econometrics,1996,73,pp:151-184.
[26]Zumbach,G.,.Volatility processes and volatility forecast with long memory.Working paper,Consulting in Finanic,2003.
[27]Engle,R.F.& Ng.,V.K.Measuring and Testing the Impact of News on Volatility[J].Journal of Finance,1993,48,pp:1749-1778.
[28]Fornari,F.and A.Mele.Sign-and Volatility-Switching ARCH Models:Theory and Applications to International Stock Markets[J].Journal of Applied Econometrics,1997,12,PP:49-65.
[29]Michael D.Mackenzie,Heather Mitchell.Power ARCH modeling of commodity futures data on the London Metal Exchange[J].The European Journal of Finance,Routledge,part of the Taylor & Francis Group,2001,March 1,Volume 7,Number 1,pp:22-38.
[30]D.E.Allen and S.N.Cruickshank,Empirical Testing of the Samuelson Hypothesis:An Application to Futures Markets in Australia,Singapore and the UK[R].Working Paper,School of Finance and Business Economicss,2002,Oct.
[31]Rita Madarassy Akin.Maturity Effects in Futures Markets:Evidence from Eleven Financial Futures Markets[R].Santa Cruz Center for International Economics,Working Paper Series,2003.
[32]Baille,R.T.& Myers,R.J.Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge[J].Journal of Applied Econometrics,1991 vol(6),pp:109-24.
[33]马超群.自回归条件异方差模型与汇率变动分析[J].系统工程,1997(5).
[34]王安兴,孙琼,林少宫.中国外汇市场波动分析[J].统计研究,1998(1).
[35]叶阿忠,李子奈.我国通货膨胀的混合回归和时间序列模型[J].系统工程理论与实践,2000(9).
[36]闫冀楠,张维.关于上海股市收益分布的实证研究[J].系统工程,1998(1).
[37]胡海鹏,方兆本.股市波动性预测模型改进研究[J].数理统计与管理,2004(5).
[38]陈千里,周少甫.上证指数收益的波动性研究[J].数量经济技术经济研究,2002(6).
[39]王玉荣.中国股票市场波动性研究-ARCH模型族的应用[J].河南金融管理干部学院学报,2002(5).
[40]李双成,王春峰.中国股票市场价格波动与交易量关系的贝叶斯分析[J].西北农林科技大学学报(社会科学版),2003(3)
[41]蒋学雷,陈敏,吴国富.中国股市板块现象与羊群效应的实证研究[J].系统工程理论及其应用,2004(12).
[42]王亚娟.基于ARFIMA-ARCH模型的股市应用[M].昆明理工大学硕士论文,2007.
[43]徐剑刚.期货报酬时间序列统计特性[J].统计研究,1997(3).
[44]华仁海,仲伟俊.我国期货市场期货价格收益、交易量、波动性关系的动态分析[J].统计研究,2003(7).
[45]冯春山,吴家春,蒋馥.国际石油市场的ARCH效应分析[J].石油大学学报(社会科学版),2003(2).
[46]叶舟,李忠民,叶楠.期货市场交易量与收益率及其波动关系的实证研究[J].系统工程,2005(4).
[47]邵延平.GARCH模型对期铜市场风险的研究[J].运筹与管理,2007(4).
[48]Zellner A..On the Bayesian estimation of multivariate regression[J].Journal of royal statistical society B,1964,26(2),pp:277-285.
[49]Zellner A..Bayesian estimation and Prediction using asymmetric loss fimctions[J].Journal of American Statistical Association,1986,81(2),pp:446-451.
[50]Zellner A.,Chong C..Forecasting international growth rates using Bayesian shrinkage and other Procedures[J].Journal of Econometries,1989,40(2),pp:183-202.
[51]Zellner A.,Min C..Gibbs sampler convergence criteria[J].Journal of American statistical association,1995(2),pp:763-778.
[52]Monahan J.F..Fully Bayesian analysis of ARMA time series models[J].Journal of Econometries,1983,21(2),pp:307-331.
[53]Bayes T..An essay towards solving a problem in the doctrine of chances[J].Philos.Trans.R.Soe.53,370-418.Reprinted in Biometrika,1958,45(2),pp:293-315.
[54]Bauwens L.,Lubrano M..Bayesian inference on GARCH models using the Gibbs sampler [J].The Econometrics Journal,1998(1),pp:47-61.
[55]West M.,Harrison J..Bayesian forecasting and dynamic models[J].2nd edition.NewYork:Springer,1997.
[56]Berger J.O..Bayesian Analysis:A Look at Today and Thoughts of Tomorrow[J].Journal of the American Statistical Association,2000,95(30),pp:1269-1276.
[57]Franses P.H.,Hoke H.,Pap R..Bayesian analysis of seasonal unit root and means shifts[J].Journal of Econometrics,1997(3),pp:359-380.
[58]Hoek H.,Lucas A.,Van Dijk H.K..Classical and Bayesian aspects of robust unit root inference[J].Journal of Econometrics,1995,69(1),pp:27-59.
[59]Lubrano M..Testing for unit roots in a Bayesian framework[J].Journal of Economtrics,1995,69(1),pp:81-109.
[60]Schotman P.C.,Van Dijk H.K..A Bayesian analysis of the unit root hypothesis in real exchange rates[J].Journal of Econometrics,1991(6),pp:195-238.
[61]Schotman P.C.,Van Dijk H.K..A Bayesian analysis of the unit root hypothesis in real exchange rates[J].Journal of Econometrics,1991(6),pp:195-238.
[62]Sehotman P.C.,Van Dijk H.K..On Bayesian routes to unit roots[J].Joumal of Applied Econometrics,1991(6),pp:387-401.
[63]Sims C.A..Bayesian skepticism on unit root econometrics[J].Journal of Economies Dynamics and Control,1988(4),pp:463-474.
[64]Sims C.A.,T.Z..Bayesian methods for dynamic multivariate models[J].International Economic Review,1998,39(4),pp:949-968.
[65]Uhlig H..Bayesian vector auto-regressions with stochastic volatility[J].Econometrica,1997,65(1),pp:59-73.
[66]Litterman R.B.Forecasting with Bayesian vector auto-regressions:Five years of experience[J].Journal of Business and Economic Statisties,1986,4(1),pp:5-15.
[67]Kasuya M,Tanemura T.Small scale Bayesian VAR modeling logistic diffusion.Journal of Forecasting,2002,20(2):246-253.
[68]Rangan Gupta.Forecasting the South African economy with VARs and VECMs[J].South African Journal of Economics,2006(74),pp:611-628.
[69]Holden K.,Broomhead A..An examination ofvertorauto-regressive forecasts for the U.K.[J].Economy,1990,6(1),pp:11-23.
[70]Amisano G.,Serati M..Forecasting co-integrated series with BVAR models[J].Journal of Forecasting,1999,18(3),pp:463-476.
[71]Koop,G.,International properties of real output:Bayesian analysis,Journal of Business[J].Economical Statistics,1991,20(12),pp:1898-1908.
[72]Koop qosiewalski J.,Steel M.F.J..Bayesian long-run Prediction in time series model[J].Journal of Econometries,1995,69(1),pp:61-80.
[73]Koop G.,Potter S.M..Bayes factors and nonlinearity:evidence from economic time series[J].Journal of Econometrics,1999(88),pp:251-281.
[74]Koop G..Bayesian analysis,computation and communication software[J].Journal of applied econometrics,1999(14),pp:677-689.
[75]中国贝叶斯向量自回归(BVAR)预测模型[M].北京:中国社会科学院数量经济与技术经济研究所经济模型集,200 1.
[76]朱慧明,韩玉启.正态-Wishart先验分布下多重线性回归模型的贝叶斯估计[J].南京理工大学学报(自然科学版).2002,26(4).
[77]朱慧明,韩玉启,吴正刚.多重线性回归模型的贝叶斯预测分析[J].运筹与管理,2005(14).
[78]郑进城,朱慧明.基于MCMC方法的贝叶斯AR(p)模型分析[J].统计与决策,2005(10).
[79]朱慧明,刘智伟.时间序列向量自回归模型的贝叶斯推断理论[J].统计与决策,2004(1).
[80]茆诗松.贝叶斯统计学[M].北京:中国统计出版社,1999.
[81]张尧庭.贝叶斯统计推断[M].北京:科学出版社,1991.
[82]朱慧明.现代经济管理中的线性贝叶斯推断理论与多总体贝叶斯分类识别方法研究[D],2003.
[83]Kalos M.H.and Witelock P.A..Monte Carlo Methods[M].John Wiley&Sons,Inc.,1986.
[84]Hastings W.K..Monte Carlo sampling methods using Markov Chains and their applications [J].Biometrika,1970,57(1),pp:72-89.
[85]Geman S.,Geman D..Stochastic relaxation,Gibbs distribution and the Bayesian restoration of images[J].IEEE Tansactions on Pattern Analysis and Machine intelligence,1984,6,pp:721-741.
[86]Gelfand A.E.,Smith A.F.M..Sampling based on approaches to calculating marginal densities[J].Journal of American Statistical Association,1990,85(2),pp:339-355.
[87]Gupta A.K.,Nagar D.K..Matrix variate distributions[M].London:Chapman & Hall,2000.
[88]陈浪南,黄杰鲲.中国股票市场波动非对称性的实证研究[J].金融研究,2002(5).
[89]Zakoian J.M..Threshold heteroskedastic models[J].Journal of Economic Dynamics and Control,1994,18,pp:931-955.
[90]Higgens M.L.,Bera A.K..A class of nonlinear ARCH models[J].International Economic Review,1992,33,pp:137-158.
[91]Ding Zhuanxin,Granger C.W.J..Modelling volatility persistence of speculative returns:A new approach[J].Journal of Econometrics,1996,(73),pp:185-215.
[92]Duan Jin-Chun.Augmented GARCH(p,q) Process and its diffusion limit[J].Journal of Econometrics,1997,(79),pp:97-127.
[93]Baillie R.T.,Bollerslev T.,Mikkelsen H.,Fractional autoregressive conditional heteroskedasticity Econometrics[J].Journal of Econometrics,1996,74,pp:3-30.
[94]Bollerslev T.,Mikkelsen H.O..Modelling and Pricing long memory in stock market volatility[J].Journal of Econometris,1996,73,pp:151-184.
[95]Weiss A.A..ARMA Model with ARCH Errors[J].Journal of Time Series Analysis,1984,5,pp:129-143.
[96]曾慧芳.自回归条件异方差模型的贝叶斯分析及其应用研究[D],湖南大学硕士论文,2007.
[97]Terence C.Mills.The Econometric Modeling of Financial Time Seriess[M].2nd ed.Cambridge University Press,1999.
[98]Shephard N..Statistical Aspects of ARCH and Stochastic Volatility in time series Models in Econometrics,Finance and Other Fields,eds.D.R.Cox,D.V.Hinkley,and O.E.Barndorff-Nielsen[M],London:Chapman & Hall,1996,pp:1-55.
[99]Geweke J..Exact predictive densities in linear models with ARCH disturbances[J].Journal of Econometrics,1989,40,pp:63-86.
[100]Kleibergen E.and H.K.van Dijk.Non-stationarity in GARCH models:a Bayesian analysis[J].Applied Econometrics,1993,8(supplement),pp:41-61.
[101]Geweke J.Bayesian comparison of econometric models.Working paper 532.Research Department,Federal Reserve Bank of Minncapolis,1994.
[102]Teruo Nakatsuma.A Markov-Chain Sampling Algorithm for GARCH models[J].Studies in Nonlinear Dynamics and Econometrics,2000,3(2),pp:107-117.
[103]Teruo Nakatsuma.Bayesian analysis of ARMA-GARCH models:A Markov chain sampling approach[J].Journal of Econometrics,2000.
[104]L.Bauwens and J.V.K.Rombouts.Bayesian Inference for the Mixed Conditional Heteroskedasticity Model[J].Econometrics Journal,2007(10),pp:408-425.
[105]Engle R.F.,Bollerslev T..Modelling the Persistenee of conditional variances[J].Econometric Reviews.(5)1986,pp:81-87.
[106]Domowitz I.and Hakkio C.S..Conditional Variance and the Risk Premium the Foreign Exchange Market[J].Journal of International Economics,1985,19,pp:47-66.
[107]French K.R.,Schwert G.W.and Stambaugh R.F..Expected Stock Returns and Volatility[J].Journal of Financial Economics,1987,19,pp:3-29.
[108]Bollerslev T.,Chou R.Y.and Kroner K.F..ARCH Model in Finance:A Review of the Theory and Empirical Evidence[J].Journal of Econometrics,1992,52,pp:5-59.
[109]李双成,王春峰.中国股票市场量价关系的实证研究[J].山西财经大学学报,2003,25(3).
[110]王洪礼,李胜朋,李栋.GARCH-M模型的沪市险值实证研究[J].天津大学学报,2005,7(5).
[111]姚燕云.改进的GARCH-M模型在股市风险分析中的应用[J].绍兴文理学院学报,2006,26(7).
[112]张俊杰.中国证券投资基金市场收益与波动的实证研究—基于GARCH和GARCH-M 模型[J].金融市场,2006(12).
[113]郑秀田.基于GARCH-M模型的黄金市场风险与收益关系研究[J].黄金市场,2008,29(5).
[114]袁志湘,邓少春,谢腾云.基于GARCH-M模型的中国股市量价关系研究[J].金融经济,2008(6).
[115]吴硕思,方兆本.非对称广义自回归条件异方差的新模型[J].应用概率统计,2000(16).
[116]AGARCH模型和多维常数相关GARCH模型的统计分析[D].西北工业大学硕士论文,2004,PP:50-52.
[117]唐旭.中国国债市场金融功能分析[J].新金融,2005(4).
[118]Tong H.,Threshold Models in Non - linear Time Series Analysis[M].New York:Springer-Verlag,1983.
[119]Timmerman A..Structural breaks,incomplete information,and stock prices,Journal of Business and Economic Statistics,2000,pp:299-315.
[120]李松臣,张世英.变结构门限t-GARCH模型及其伪持续性研究[J].数量经济技术经济研究,2006(7).
[121]李松臣,张世英.多元变结构门限GARCH模型的伪协同持续性研究[J].系统工程理论与实践,2007(10).
[122]L.Bauwens,A.Preminger and J.Rombouts.Regime Switching Garch Models, discussion paper,2006(6).
[123]Poon S.,Granger C..Foreasting volatility in financial markets:a review[J].Journal of Economic Literature,2004.
[124]吴长凤.ARCH模型及其应用研究[D].北京:中国科学院数学与系统科学研究所博士学位论文,2000.
[125]Bollerslev T..Modeling the coherence in short-run nominal exchange rates:A multivariate generalized ARCH approach[J].Review of Economics and Statistics,1990,72,pp:498-505.
[126]Wang P.& P.Wang.Foreign Exchange Market Volatility in Southeast Asia[J].Asia-Pacific Financial Markets,1999,6,pp:235-252.
[127]Wang,P.& P.Wang.Equilibrium Adjustment,Basis Risk and Risk Transmission in Spot and Forward Foreign Exchange Markets[J].Applied Financial Economics,2001,11,pp:127-136.
[128]Colm,Patton,Andrew J..Kearney.Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System[J].Financial Review,2000,35(1),pp:29-48.
[129]McCarthy J..Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies[J].BIS Working Paper,1999,No.79.
[130]Menon J.Exchange Rate Pass-through[J].Journal of Economic Survey,1995,Vol.(9),No.2,pp:197-231.
[131]Dornbusch R..Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84,PP:1161-1176.
[132]Goldfajn I.,and Werlang S.R.C..The Pass-through fi'om Depreciation to Inflation:A Panel Study[J].Banco Central de Brasil Working Paper,2000,No.5.
[133]Kim,Ki-Ho.US Inflation and the Dollar Exchange Rate:A Vector Error Correction Model[J].Applied Economics,1998,Vol.(30),pp:613-619.
[134]Leith J.C..The Exchange Rate and the Price Level in a Small Open Economy:Botswana[J].Journal of Policy Modeling,1991,Vol.(13),No.2,pp:309-315.
[135]Liu J.,LI W.K.,Li C.W..On a threshold autoregressive with condition heteroscedastic variances[J].J Statist Plan Inf,1997,62,pp:279-300.
[136]Cassel G..Abnormal Deviations in International Exchanges[J].Economic Journal,1918,Vol.(28),pp:413-415.
[137]Dornbusch R..Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84,pp:1161-1176.
[138]Engle R.F..Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation[J].Econometrica,1982,50.
[139]Johansen S..Likelihood-Based Inference in Cointegrated Vector Autoregressive Models[J].Oxford:Oxford University Press,1995.
[140]Lidless D.and Parking M..Inflation:A Survey[J].Economic Journal,1975,Vol.(85),December,pp:741-809.
[141]McCarthy J..Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies[J].BIS Working Paper,1999,No.79.
[142]McKinnon,Ronald I.and Kenichi Ohno.Dollar and Yen:Resolving Economic Conflict Between the United States and Japan[J].Massachusetts Institute of Technology,1997.
[143]Menon J..Exchange Rate Pass-through[J].Journal of Economic Survey,1995,Vol.(9),No.2,pp:197-231.
[144]Mills T.C.The Econometric Modeling of Financial Time Series[J].second edition,Cambridge:17,Cambridge University Press,1999.
[145]Samuelson P.A..Theoretical Notes on Trade Problems[J].Review of Economics and Statistics,1964,Vol.(46),pp:145-154.
[146]Wing T.Woo and Peter Hooper.Exchange Rate and the Prices of Nonfood,Nonfuel Products[J].Brookings Papers on Economic Activity,1984,Vol.(1984),No.2,pp:511-536.
[147]Campell J.,Hentschel L..No News is good news:Asymmetric model of changing volatility in stock returns[J].Unpublished Manuscript,1992,Princeton University.
[148]Koutmos Booth.Asymmetric volatility transmission international stock markets[J].Journal of International Money and Finance,1995,14,pp:747-762.
[149]Koutmos.Modeling the Dynamic Interdependence of major European stock markets[J].Journal of Business Finance and Accounting,1996,23,pp:975-988.
[150]Nelson D..Conditional heteroskedasticity in asset returns[J].Economet rica,1991,59,pp:349-370.
[151]Jorison P..Value at risk:the new benchmark for cont rolling market risk[M].New York:The McGraw-Hill Companies,1997.
[152]Kupiec P.H..Techniques for verifying the accuracy of risk measurement model[J].The Journal of Derivatives,1995,(2).
[153]Collin-Dufresne P.,Solnik B..On the term st ructure of default premia in the swap and LIBOR markets[J].Journal of Finance,2001,56,pp:1095-2015.
[154]Huang J.,Huang M..How much of the Corporate-treasury yield spread is due to credit risk[J].Working paper,2003.
[155]Karatzas I.,Kou S..On the pricing of contingent claims under const raints[J].The Annuals of Applied Probability,1996,6,pp:321-369.
[156]Karatzas I.,Shreve S..Methods of mathematical finance[M].Springer,2001.
[157]Longstaff F.,Schwartz E..A Simple approach to valuing risky fixed and floating rate debt[J].Journal of Finance,1995,50,pp:789-820.
[158]Merton R..On the pricing of corporate debt:the risk st ructure of interest rates[J].Journal of Finance,1974,29,pp:449-470.
[159]Karolyi G.A..A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility:The Case of the United States and Canada[J].Journal of Business and Economic Statistics,1995,13,pp:11-25.
[160]Longin F.,and B.Solnik.Is correlation in international equity returns constant:1960-1990?[J].Journal of International Money and Finance,1995,14,pp:3-26
[161]Bernake B.,Kuttner K..What explains the stock market's reaction to Federal reserve policy?[J].Journal of Finance,2005,60,pp:1221-1257.
[162]Boyd J.,Hu J.,Jagannathan R..The stock market's reaction to unemp loyment news:why bad new s is usually good for stocks[J].Journal of F inance,2004,62,pp:649-672.
[163]Flannery M..Protopapadak is A.Macroeconomic factors do influence aggregate stock returns[J].Review of Financial Studies,2002,15,pp:751-782.
[164]Jones C,Lamont O.,Lumsdaine R..Macroeconomic news and bond market volatility[J].Journal of Financial Economics,1998,47,pp:315-337.
[165]Bernanke B.S.,Blinder A.S..Federal funds rate and the channels of monetary transmission[J].American Economic Review,1992,82,pp:901-921.
[166]Grier K.,Perry M..Inflation,inflation uncertainty,and relative price dispersion:evidence from bivariate GARCH-M model[J].Journal of Monetary Economics,1996,38,pp:391-405.
[167]Adams G.,McQueen G,Wood R..The effects of inflation news on high frequency stock returns[J].Journal of Business,2004,77,pp:547-574.
[168]Granger C.W.J..Forecasting stock market prices:Lessons for forecasters[J].International Journal of Forecasting,1992,8,pp:3-13.
[169]Bollerslev T,Kikkelsen H.O..Modeling and pricing long-memory in stock market volatility[J].Journal of Econometrics,1996,73,pp:151-184.
[170]Bollerslev T.,Chou R.Y.,Kroner K.F..ARCH Modeling in Finance:A review of the theory and empirical evidence[J].Journal of Econometrics,1992,52,pp:5-59.
[171]Abraham A.,and Ikenberry D..The individual investor and the weekend effect[J].Journal of Financial and Quantitative Analysis,1994,29,pp:263-277.
[172]Kiymaz H.,and Berument H..The day of the week effect on stock market volatility and volume:International evidence[J].Review of Financial Economics,2003,12,pp:363-380.
[173]Baker K..The day-of-the-week effect and conditional volatility:Sensitivity of error distributional assumptions[J].Review of Financial Economics 2007,9(3).
[174]Glassman D..Exchange rate risk and transactions costs:Evidence from bid-ask spreads[J].Journal of International Money and Finance,1987,6,pp:479-490.
[175]Corhay A.,and Fatemi A..On the presence of a day-of-the-week effect in the foreign exchange market[J].Managerial Finance,1995,21,pp:32-43.
[176]Tang G.Impact of the day-of-the-week effect on diversification and exchange rate risks[J].International Business Review,1997,6,pp:35-51.
[177]Ho Y.Stock Return Seasonalities in Asia Pacific Markets[J].Journal of International Financial Management and accounting,1990,2,pp:44-77.
[178]Choudhry T..Day of the week effect in emerging Asian markets:Evidence from the GARCH model[J].Applied Financial Economics,2000,10,pp:235-242.
[179]Connolly R..A posterior odds analysis of the week-end effect[J].Journal of Economet rics,1991,49,pp:51-104.
[180]Chang E.,Pinegar M.,& Ravichandran R..International evidence on the robustness of the day-of-the-week effect[J].Journal of Financial and Quantitative Analysis,1993,28,pp:497-513.
[181]Peiro A..Daily seasonality in stock returns:Further international evidence[J].Economics Letters,1994,45,pp:227-232.
[182]Aggrawal R.,and Mehdian S..Day-of-the-week regularities and their higher moments in futures market[J].American Business Review,2003,21,pp:47-53.
[183]G.Schwert..Anomalies and market efficiency[C].Handbook of the Economics of Finance,2003,pp:937-972.
[184]Yamori N.,& Kurihara Y.The day-of-the-week effect in foreign exchange markets:Multi-currency evidence[J].Research in International Business and Finance,2004,18,pp:51-57.
[185]Chen G.The day of the week regularity in the stock markets of China[J].Journal of Multinational Financial Management,2001,11,pp:139-163.
[186]Cheung Y,R.Y Ho,P.Pope and P.Draper.Intraday Stock Return Volatility:The Hong Kong Evidence[J].Pacific-Basin Finance Journal,1994(2),pp:261-276.
[187]Choe H.,Shin H.S..An analysis of intraday and intraday return volatility evidence from the Korea Stock Exchange[J],Pacific-Basin finance Journal,1993(1),pp:175-188.
[188]Frino A.,Lau S.T.,Mclnish T..What is the best way of opening an electronic market ?[J].ASX Perspective 1st Quarter,1996,48-51.
[189]Lockwood L.J.,Linn S.C.An examination of stock market return volatility during over night and intraday Periods,1964-1989[J].Journal of Finance,1990(45),pp:591-601.
[190]Madhavan Ananth.Market Microstructure:A Survery[J].Journal of Financial Intremediation,2000,(5),pp:255-283.
[191]Naidu G.N.and Michael S.Rozeff.Volume,volatility,liquidity and efficiency of the Singapore Stock Exchange before and after automation[J],Pacific-Basin finance Journal,1994(2),pp:23-42.
[192]Stoll Hans R.and Robert E..Whaley,Stock market structure and volatility[J],Review of Finance Studies,1990(3),pp:37-71.
[193]姜波克,陆前进.汇率理论和政策研究[M].上海:复旦大学出版社,2000.
[194]朱慧明,韩玉启.贝叶斯多元统计推断理论[M].科学出版社,2006,112-120.
[195]Ling S..On the probabilistic properties of a double-threshold ARCH conditional heteroskedasticity model[J].Journal of Applied probability,1999,36,pp:1-18.