系统管理学报2011，Vol.20Issue(1)：22-25,4.
基于长记忆视角的Granger因果检验
The Granger Causality Test Based on the Perspective of Long Memory
许友传 1何晓光 2杨继光3
作者信息
- 1. 复旦大学金融研究院,上海200433
- 2. 广东商学院金融学院,广州510320
- 3. 招商银行博士后科研工作站,广东深圳518067
- 折叠
摘要
Abstract
The paper uses the real estate stock index and bank stock index as an example and provides a means to decompose short memory characteristic from the long memory in time series based on ARFIMA and FIGARCH models. We study the effect of long memory of time series on Granger causality test. We find that the volatility of bank stock index return has stronger causal-inducing relationship or elucidative power for the volatility of real estate stock index return, and the long memory characteristic of the volatility of bank stock index return affects the elucidative power of its short long dependence on the volatility of real estate stock index return.关键词
长记忆性/短时相依/Granger因果检验/R/S检验Key words
long memory/short long dependence/Granger causality test/R/S test分类
管理科学引用本文复制引用
许友传,何晓光,杨继光..基于长记忆视角的Granger因果检验[J].系统管理学报,2011,20(1):22-25,4.
