北京师范大学学报（自然科学版）2016，Vol.52Issue(4)：430-435,6.DOI:10.16360/j.cnki.jbnuns.2016.04.005
基于MCUSQAR变结构检验的模拟与实证分析
Simulation and empirical analysis based on MCUSQAR variable structure test
王皓月 1罗启轩 1李汉东2
作者信息
- 1. 北京师范大学系统科学学院，100875，北京
- 2. 北京师范大学政府管理学院，100875，北京
- 折叠
摘要
Abstract
A method for testing central accumulated square and auto regressive (MCUSQAR)variable structure is proposed here with adaptation from the literature,statistical analysis of test effect is carried out using computer simulation.The method is found to have good effect on mean variance variable structure time series.This is used to test daily return rate in the Chinese stock market,which is found to have significant change in variable structural phenomenon and relate closely to changes in the financial market at the time.关键词
中心化累积平方和自回归/变结构检验/收益率/实证研究Key words
MCQSQAR/variable structure test/rate of return/empirical research分类
管理科学引用本文复制引用
王皓月,罗启轩,李汉东..基于MCUSQAR变结构检验的模拟与实证分析[J].北京师范大学学报（自然科学版）,2016,52(4):430-435,6.
