金融高频数据分析——扩展ACD模型实证研究
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财经研究 2006 年 第 32 卷第 06 期, 页码：16 - 24
摘要
参考文献
摘要
扩展的ACD模型是金融高频数据分析的一种重要方法。根据Hentschel(1995)关于建立非对称GARCH模型家族的方法,原始自回归条件期间模型(Autoregres-sive Conditional Duration,简称ACD模型)可以产生多种扩展类型。文章通过对中国石化价格期间的实证分析,表明现有ACD模型强加的约束条件与数据实证相矛盾,而且证实了由扩展ACD模型赋予的许多弹性。综合考虑所有的实证结果,通过LogL、AIC以及D检验值的对比,BCACD、EXACD、LACDⅠ三类模型实证结果的效果最好。
关键词
[1]Bauwens L.A comparison of financial duration models via density forecasts[R].Coreand Department of Economics,University Catholique de Louvain,Belgium,2000.
[2]Bauwens L,Giot P.The logarithmic ACD model:An application to the bid-ask quote processof three NYSE stocks[J].Annales d’Economie et de Statistique,2000,60:117~150.
[3]Bauwens L,Veredas D.The stochastic conditional duration model:A latent factor model forthe analysis of financial durations[R].Forthcoming in Journal of Econometrics,1999.
[4]Box G E P,Cox D R.An analysis of transformations[J].Journal of the Royal Statisti-cal Society B,1964,26:211~243.
[5]Carrasco M,Chen X.Mixing and moment properties of various GARCH and stochasticvolatility models[J].Econometric Theory,2002,18:17~39.
[6]Diamond,Douglas,Robert Verrecchia.Constraints on short-selling and asset price adjustmentto private information[J].Journal of Financial Economics,1987,18(2):277~311.
[7]Dufour A,Engle R F.The ACD model:Predictibility of the time between consecutivetrades[R].University of Reading and University of California at San Diego,2000.
[8]Engle R F,Jeffrey R Russell.Forecasting transaction rates:The autoregressive condi-tional duration model[R].NBER Working Papers 4966,1994,National Bureau of Eco-nomic Research,Inc.
[9]Engle R F,Asger Lunde.Trades and quotes:A bivariate point process,university ofcalifornia at san diego[R].Economics Working Paper Series,1998:98~07,Departmentof Economics,UC San Diego.
[10]Engle R F,Russell J R.Forecasting the frequency of changes in quoted foreign ex-change prices with the autoregressive conditional duration model[J].Journal of Empiri-cal Finance,1997,4:187~212.
[11]Engle R F,Russell J R.Autoregressive conditional duration:A new model for irregu-larly-spaced transaction data[J].Econometrica,1998,66:1127~1162.
[12]Engle R F.The econometrics of ultra-high frequency data[J].Econometrica,2000,68:1~22.
[13]Fernandes M,Grammig J.A familiy of autoregressive conditional duration models[R].Graduate School of Economics,Getulio Vargas and CORE Discussion Paper,2003.
[14]Glosten L,P Milgrom.Bid,ask,and transaction prices in a specialist market with het-erogeneously informed traders[J].Journal of Financial Economics,1985,13:71~100.
[15]Ghysels E,Jasiak J.GARCH for irregularly spaced financial data:The ACD-GARCH mod-el[R].Studies in Nonlinear Economics and Econometrics,1998,2:133~149.
[16]Ghysels E,Gourieroux C,Jasiak J.Stochastic volatility duration models[R].Forth-coming in Journal of Econometrics,2003.
[17]Giot P.Time transformations,intraday data and volatility models[J].Journal of Com-putational Finance,2000,4:31~62.
[18]Grammig J,Wellner M.Modeling the interdependence of volatility and inter-transac-tion duration processes[J].Journal of Econometrics,2002,106:369~400.
[19]Joel Hasbrouck.Security bid/ask dynamics with discreteness and clustering:Simplestrategies for modeling and estimation[R].New York University,Leonard N.SternSchool Finance Department Working Paper Seires 98~042,1998,New York Universi-ty,Leonard N.Stern School of Business.
[20]Joel Hasbrouck.Liquidity in the futures pits:Inferring market dynamics from incomplete data[R].New York University,Leonard N.Stern School Finance Department Working PaperSeires 98~076,1998,New York University,Leonard N.Stern School of Business.
[21]He C,Ter¨asvirta T.Properties of moments of a family of GARCH processes[J].Journal of Econometrics,1999,92:173~192.
[22]He C,Terasvirta T,Malmsten H.Moment structure of a family of first-order expo-nential GARCH models[J].Econometric Theory,2002,18:868~885.
[23]Hentschel L.All in the family:Nesting symmetric and asymmetric GARCH models[J].Journal of Financial Economics,1995,39:71~104.
[24]Lo A W,MacKinlay A C,Zhang J.Econometric models of limit-order executions[J].Journal of Financial Economics,2002,65:31~71.
[25]Nelson D B.Stationary and persistence in the GARCH(1,1)model[J].EconometricTheory,1990,6:318~334.
[26]O’Hara M.Market microstructure theory[M].Oxford:Basil Blackwell,1995.
[27]Pham D T.The mixing property of bilinear and generalised random coefficient autore-gressive models[J].Stochastic Processes and Their Applications,1986,23:291~300.
[28]Renault O,Scaillet.An autoregressive conditional binomial option pricing model[R].Global Association of Risk Professionals conference,London,Juin 2000.
[29]Zhang M Y,Russell J R,Tsay R S.A nonlinear autoregressive conditional duration model withapplications to financial transaction data[J].Journal of Econometrics,2001,104:179~207.
[2]Bauwens L,Giot P.The logarithmic ACD model:An application to the bid-ask quote processof three NYSE stocks[J].Annales d’Economie et de Statistique,2000,60:117~150.
[3]Bauwens L,Veredas D.The stochastic conditional duration model:A latent factor model forthe analysis of financial durations[R].Forthcoming in Journal of Econometrics,1999.
[4]Box G E P,Cox D R.An analysis of transformations[J].Journal of the Royal Statisti-cal Society B,1964,26:211~243.
[5]Carrasco M,Chen X.Mixing and moment properties of various GARCH and stochasticvolatility models[J].Econometric Theory,2002,18:17~39.
[6]Diamond,Douglas,Robert Verrecchia.Constraints on short-selling and asset price adjustmentto private information[J].Journal of Financial Economics,1987,18(2):277~311.
[7]Dufour A,Engle R F.The ACD model:Predictibility of the time between consecutivetrades[R].University of Reading and University of California at San Diego,2000.
[8]Engle R F,Jeffrey R Russell.Forecasting transaction rates:The autoregressive condi-tional duration model[R].NBER Working Papers 4966,1994,National Bureau of Eco-nomic Research,Inc.
[9]Engle R F,Asger Lunde.Trades and quotes:A bivariate point process,university ofcalifornia at san diego[R].Economics Working Paper Series,1998:98~07,Departmentof Economics,UC San Diego.
[10]Engle R F,Russell J R.Forecasting the frequency of changes in quoted foreign ex-change prices with the autoregressive conditional duration model[J].Journal of Empiri-cal Finance,1997,4:187~212.
[11]Engle R F,Russell J R.Autoregressive conditional duration:A new model for irregu-larly-spaced transaction data[J].Econometrica,1998,66:1127~1162.
[12]Engle R F.The econometrics of ultra-high frequency data[J].Econometrica,2000,68:1~22.
[13]Fernandes M,Grammig J.A familiy of autoregressive conditional duration models[R].Graduate School of Economics,Getulio Vargas and CORE Discussion Paper,2003.
[14]Glosten L,P Milgrom.Bid,ask,and transaction prices in a specialist market with het-erogeneously informed traders[J].Journal of Financial Economics,1985,13:71~100.
[15]Ghysels E,Jasiak J.GARCH for irregularly spaced financial data:The ACD-GARCH mod-el[R].Studies in Nonlinear Economics and Econometrics,1998,2:133~149.
[16]Ghysels E,Gourieroux C,Jasiak J.Stochastic volatility duration models[R].Forth-coming in Journal of Econometrics,2003.
[17]Giot P.Time transformations,intraday data and volatility models[J].Journal of Com-putational Finance,2000,4:31~62.
[18]Grammig J,Wellner M.Modeling the interdependence of volatility and inter-transac-tion duration processes[J].Journal of Econometrics,2002,106:369~400.
[19]Joel Hasbrouck.Security bid/ask dynamics with discreteness and clustering:Simplestrategies for modeling and estimation[R].New York University,Leonard N.SternSchool Finance Department Working Paper Seires 98~042,1998,New York Universi-ty,Leonard N.Stern School of Business.
[20]Joel Hasbrouck.Liquidity in the futures pits:Inferring market dynamics from incomplete data[R].New York University,Leonard N.Stern School Finance Department Working PaperSeires 98~076,1998,New York University,Leonard N.Stern School of Business.
[21]He C,Ter¨asvirta T.Properties of moments of a family of GARCH processes[J].Journal of Econometrics,1999,92:173~192.
[22]He C,Terasvirta T,Malmsten H.Moment structure of a family of first-order expo-nential GARCH models[J].Econometric Theory,2002,18:868~885.
[23]Hentschel L.All in the family:Nesting symmetric and asymmetric GARCH models[J].Journal of Financial Economics,1995,39:71~104.
[24]Lo A W,MacKinlay A C,Zhang J.Econometric models of limit-order executions[J].Journal of Financial Economics,2002,65:31~71.
[25]Nelson D B.Stationary and persistence in the GARCH(1,1)model[J].EconometricTheory,1990,6:318~334.
[26]O’Hara M.Market microstructure theory[M].Oxford:Basil Blackwell,1995.
[27]Pham D T.The mixing property of bilinear and generalised random coefficient autore-gressive models[J].Stochastic Processes and Their Applications,1986,23:291~300.
[28]Renault O,Scaillet.An autoregressive conditional binomial option pricing model[R].Global Association of Risk Professionals conference,London,Juin 2000.
[29]Zhang M Y,Russell J R,Tsay R S.A nonlinear autoregressive conditional duration model withapplications to financial transaction data[J].Journal of Econometrics,2001,104:179~207.
引用本文
徐国祥, 金登贵. 金融高频数据分析——扩展ACD模型实证研究[J]. 财经研究, 2006, 32(6): 16–24.
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