论文标题
关于流动库存的相关分析
On the correlation analysis of illiquid stocks
论文作者
论文摘要
研究了流动性股票价格变化的串行相关性，从而允许无条件的异质性和随时间变化的零回报概率。根据设置的不同，我们研究了如何适应通常的自相关，以准确表示价格变化串行相关性。我们通过蒙特卡洛实验的平均值来阐明不同串行相关度量的特性。考虑到智利股票市场的股票，理论上的论点是说明的。
The serial correlations of illiquid stock's price changes are studied, allowing for unconditional heteroscedasticity and time-varying zero returns probability. Depending on the set up, we investigate how the usual autocorrelations can be accommodated, to deliver an accurate representation of the price changes serial correlations. We shed some light on the properties of the different serial correlations measures, by mean of Monte Carlo experiments. The theoretical arguments are illustrated considering shares from the Chilean stock market.
