摘要
通过对AR(q)模型的拓展,寻找金融时间序列的两个重要变量:缩放幅度与逆转周期,并以此为基础,探讨了中国证券投资基金的风险调整特性。研究发现:短期情况下,基金总体表现比较谨慎;中期情况下,基金与大盘在风险调整上的差别相对要大一些,且基金之间的区别比较明显。
The paper tries to expand the AR （q） model to find the two important variables of financial time series：narrow-enlarge range and the reversal-cycle. Based on this, the authors discuss the risk adjustment characteristics of China＇ s securities investment funds. The research shows that the overall performance of funds is comparatively cautious in short terms;in interim terms,the difference between funds and the stock market is comparatively large,and the differences between funds are obvious.
出处
《云南财经大学学报》
2008年第3期86-94,共9页
Journal of Yunnan University of Finance and Economics
