基于持续期依赖马尔可夫转换模型的我国股市泡沫研究
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引用本文:李想,刘小二.基于持续期依赖马尔可夫转换模型的我国股市泡沫研究[J].财经理论与实践,2011,(1):43-47
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作者单位
李想,刘小二 (厦门大学 经济学院福建 厦门361005) 
中文摘要:使用持续期依赖马尔可夫转换模型,通过Gibbs抽样估计方法,对上海股票市场是否存在泡沫进行研究。结果表明,我国股票市场具有明显的持续期依赖特征。给出上海股票市场在样本期间内各时刻处于有泡沫状态的概率,发现在样本期间内有三个时段存在泡沫的概率超过了50%。
中文关键词:泡沫  持续期依赖  马尔可夫转换  Gibbs抽样
 
Testing for Stock Price Bubbles in China Using the Duration-dependent Markov Switching Autoregressive Model
Abstract:Using the duration-dependent Markov switching autoregressive model and Gibbs sampling method, the existence of bubbles of Shanghai stock market has been researched. The results show that there is significant duration dependence feature in the Shanghai stock market, and the probability of bubbles existence are greater than 50% in three periods.
keywords:Bubbles  Duration Dependence  Markov Switching  Gibbs Sampling
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