北京师范大学学报（自然科学版）Issue(6)：662-667,6.
多资产波动序列日内共同周期结构研究∗
Daily periodicity of multi-asset volatility series
摘要
Abstract
A daily periodicity model for multi-asset volatility series on the Chinese stock market was built by flexible Fourier transformation.A simple canonical correlation test and information criteria were used to investigate common factors in daily periodicity and periodicity elements.Empirical analysis of 8 bank stocks at 5 min sampling intervals in 146 d showed that three factors were needed to describe daily periodicity in 8 bank stocks volatilities.Model imposing these commonalities presented better forecasting volatility results than time series forecasting models;A comparison of results from different sampling frequencies revealed that 5 min sampling frequency was more suited for reduced-rank method to determine common daily periodicity.关键词
多资产/波动序列/共同周期成分/日内周期结构Key words
multi-assets/volatility series/common periodicity/intraday periodicity分类
自科综合引用本文复制引用
严静,李汉东..多资产波动序列日内共同周期结构研究∗[J].北京师范大学学报（自然科学版）,2014,(6):662-667,6.基金项目
中央高校基本科研业务费专项资金资助项目(2012LZD01) （2012LZD01）
