wangchunjie
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- Professor
- Supervisor of Doctorate Candidates
- Supervisor of Master's Candidates
- Name (Pinyin):wangchunjie
- Date of Birth:1978-09-18
- E-Mail:
- Date of Employment:2004-06-30
- School/Department:长春工业大学
- Administrative Position:院长
- Education Level:With Certificate of Graduation for Doctorate Study
- Business Address:新图书馆614
- Contact Information:0431-85716480
- Degree:Doctoral degree
- Professional Title:Professor
- Status:Employed
- Alma Mater:吉林大学
- Teacher College:数学与统计学院
- Discipline:Other specialties in Statistics
Contact Information
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- Fax：
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- Paper Publications
基于极大重叠离散小波变换的金融高频数据波动率估计
Release time:2022-06-14 Hits:
- Affiliation of Author(s):数学与统计学院
- Teaching and Research Group:统计教研室
- Journal:吉林大学学报(理学版)
- Key Words:高频数据; 极大重叠离散小波变换; 波动率估计; 小波方差
- Abstract:利用极大重叠离散小波变换方法对资产收益的积分波动率进行估计.针对沪深300指数选取不同小波函数估计积分波动率,计算相对误差统计量.结果表明,不同小波函数对积分波动率估计不存在显著差异,但随着抽样频率的增加,估计精度逐渐提高.对尺度及其相应尺度下的波动率进行对数变换可见,二者之间存在显著的线性关系,随着尺度的增加,波动率逐渐变小.
- Indexed by:Journal paper
- Volume:52
- Issue:06
- Page Number:1222-1226
- Translation or Not:no
- Date of Publication:2014-11-26