variance ratio中文什么意思

下載手機詞典可隨時隨地查詞查翻譯

In the last part , simultaneously analyzed three types of weak - form market efficiency tests - auto regression , run tests and variance ratio test for various data frequencies , perform the tests on both the shanghai and shenzhen markets for a period of more than six years
第三章中，本文運用自回歸、游程檢驗和方差比檢驗三種模型分別對我國上海股票市場和深圳股票市場的弱式有效性進行分析。
We empirically test the return serial correlation of shanghai stock market under the vr ( variance ratio ) test framework . we suggest that the test results of index and individual stocks are consistent with the exist results . the index return is positive serial correlation and individual stocks returns are weakly negative serial correlation
2 .我們使用高頻交易數(shù)據(jù),在方差比檢驗的框架下檢驗了上海證券市場收益率的序列相關性,我們發(fā)現(xiàn)在市場指數(shù)和個股樣本方面的檢驗結果與以往的研究結果存在一致性,即指數(shù)收益率存在正序列相關性,而個股收益率存在弱負序列相關性。

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