[1]吴礼斌,张晓芳.基于广义双曲线分布的人民币汇率波动性研究[J].长安大学学报(社科版),2016,18(04):62-67.
WU Li-bin,ZHANG Xiao-fang.Research on RMB exchange rate volatility based on GH distribution[J].Journal of Chang＇an University(Social Science Edition),2016,18(04):62-67.
点击复制
基于广义双曲线分布的人民币汇率波动性研究(PDF)
WU Li-bin,ZHANG Xiao-fang.Research on RMB exchange rate volatility based on GH distribution[J].Journal of Chang＇an University(Social Science Edition),2016,18(04):62-67.
《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]
- 卷:
- 第18卷
- 期数:
- 2016年04期
- 页码:
- 62-67
- 栏目:
- 经济与管理
- 出版日期:
- 2016-10-15
文章信息/Info
- Title:
- Research on RMB exchange rate volatility based on GH distribution
- Author(s):
- WU Li-bin; ZHANG Xiao-fang
- Institute of Quantitative Economics, Anhui university of Finance and Economics, Bengbu 233030, Anhui, China
- Keywords:
- RMB exchange rate; generalized hyperbolic (GH) distribution; volatility; volatility filtering model
- 分类号:
- F832.6
- DOI:
- -
- 文献标志码:
- A
- 摘要:
- 针对人民币汇率的波动性问题，运用广义双曲线分布，对2006年1月4日到2015年7月24日美元兑人民币汇率的波动特征进行实证分析。研究认为，人民币汇率不仅具有显著的“尖峰厚尾”特点，而且具有波动的非对称性和集群性特征，同时发现GH分布能较为准确地描述和呈现美元兑人民币汇率收益率波动状况的分布情况。
- Abstract:
- Regarding the volatility of RMB exchange rate, this paper investigated the characteristics of US$/RMB exchange rate volatility from January 4, 2006 to July 24, 2015, using generalized hyperbolic〖JP〗 (GH) distribution. It is found that RMB exchange rate not only has the significant “leptokurtosis and fat tail” characteristics, but also has fluctuating asymmetry and clustering characteristics. At the same time, it is found that GH distribution can describe and present the distribution of US$/RMB exchange rate volatility precisely.
参考文献/References:
相似文献/References:
备注/Memo
- 备注/Memo:
常用功能
统计/Statistics
- 摘要浏览/Viewed1590
- 全文下载/Downloads1454
- 评论/Comments
更新日期/Last Update:
2017-01-03