%0 Journal Article
%T Volatility and Nonlinear Dependence in the Returns of China''''s Security Markets<br>中国证券市场波动与收益的非线性相关
%A ZHAO Liu-yan
%A WANG Yi-ming
%A <br>赵留彦
%A 王一鸣
%J 系统工程理论与实践
%D 2005
%I 
%X We investigate the serial dependence of the returns of the Shanghai Composite Index and Shenzhen Component Index.Although the data exhibit no significantly linear autocorrelation,substantial evidence indicates the presence of nonlinear dependence.Further examination shows that the nonlinearities of the two return series are mainly due to autoregressive conditional heteroskedasticity(ARCH) effects,for each series will be independent after filtered through a certain ARCH model.
%K nonlinear dependence
%K BDS test
%K ARCH
%K monte-carlo simulations<br>非线性相关
%K BDS检验
%K ARCH效应
%K 蒙特卡罗模拟
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=9979F51AF01CE2F5&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=59906B3B2830C2C5&sid=CA4FD0336C81A37A&eid=F3090AE9B60B7ED1&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=29