A new approach to model financial markets

	A new approach to model financial markets
	Xie Habin 1; Wang Shouyang 2
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2013
卷号	26 期号:3 页码:432-440
关键词	SECURITY PRICE VOLATILITIES DOLLAR EXCHANGE-RATE TIME-SERIES ANALYSIS CONDITIONAL HETEROSKEDASTICITY VARIANCE MONEY RETURNS INCOME Granger causality range range decomposition VAR
ISSN号	1009-6124
其他题名	A NEW APPROACH TO MODEL FINANCIAL MARKETS
英文摘要	This paper deals with the problem of how to take full use of prices information to model financial markets. A range decomposition technique is proposed to decompose the returns into two components. It is proved theoretically that these two components are bi-directional Granger causality, which makes it convenient to establish a vector autoregressive model (VAR). Both simulations and empirical studies are performed, and the results are consistent with the theoretical ones. The range decomposition approach presented in this paper is more efficient in information employment and suggests a new framework to model financial markets.
语种	英语
CSCD记录号	CSCD:4908034
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/56983]
专题	中国科学院数学与系统科学研究院
作者单位	1.对外经济贸易大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Xie Habin,Wang Shouyang. A new approach to model financial markets[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2013,26(3):432-440.
APA	Xie Habin,&Wang Shouyang.(2013).A new approach to model financial markets.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,26(3),432-440.
MLA	Xie Habin,et al."A new approach to model financial markets".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 26.3(2013):432-440.