...2...5...5...5...6...6...6...9...9...10...11...11...12...12...12...13...14...14...17...21...22...23...24...24...25...26...26...28...33...36...36...36...36...41...42...42...43...45...45...48...54 1
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1 2 D QFII 2002 3 697375 1495 5
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i t i pf t ( D) pf D D i t ( A) pf A i t A r i t 4 CSMAR 9
( D) r = it, ( D) i i t t it, pf ( D) pf * r i t ( A) r = it, ( A) it, pf ( A) i t pf * r i t i t ( M ) r = it, it, pf i t pf * r i t i t 10
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1, 2, K,15,16 q nq 1, 2, K, n1, n1+ 1, K, n1+ n2, K, nq 16 q= 1 q tstart q 1 n τ τ = 0 = + 1t q end q n τ τ = 0 = q = 1, 2, K16 n 0 = 0 q start q t q t q end i i = 1, 2, K816 t H i i t P t Pf t i t i H q tend 1 = Hτ q = 1, 2,3, K16 n q q i i q τ = tstart q i σ i q q r = ln( P ) ln( P ) i i i t t t 1 q tend q i 1 i i 2 σ = ( rτ r ) n 2 q q τ = tstart + 1 i q 25
Pf q tend 1 = Pfτ n q q i i q τ = tstart q i q i q i ( H, σ, Pf ) i = 1, 2, K816 q = 1, 2, 3, K16 q Pf i 26
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q H i 28
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( i k k ) Pf i ( k) σ i ( k ) H i i k k 1 ( k) i ( k) i ( k 1) i δ ( σ ) = log( σ ) log( σ ) k = 2 ( k ) H i ( k) Pf i 33
δ ( ( k) σ i ) k = 3 k = 2 k = 3 5 3.4 3.2 AB 2 1 10 34
k = 2 k = 3 k = 2 k = 3 35
36
[1] 37
38
39
[2] 40
41
[2] 2005 2 5 56 18 42
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[3] 44
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48
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54