%0 Journal Article
%T ARMA Model of Nonsynchronous Trading and Return Analysis<br>不同步交易模型及其回报分析
%A LIU Xiao-Mao
%A LI Chu-Lin
%A <br>刘小茂
%A 李楚霖
%J 数学物理学报(A辑)
%D 2004
%I 
%X Nonsynchronous trading is one of the hot issues in financial high frequency data processing. This paper extends the nonsynchronous trading model studied in 1] and 2] for the financial security, and considers the statistical specialties of the observable return series for the extended model. At last, the estimators of parameters are discussed.
%K High
%K Frequency data
%K Nonsynchronous trading
%K Return
%K Moment functions
%K Parameters estimation<br>高频数据
%K 不同步交易
%K 回报
%K 矩
%K 参数估计
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=4DB553CDB5F521D8C921082E5C95EC80&aid=196C8BD402B03AEF&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=CA4FD0336C81A37A&sid=CA4FD0336C81A37A&eid=DF92D298D3FF1E6E&journal_id=1003-3998&journal_name=数学物理学报(A辑)&referenced_num=0&reference_num=3