| 汇率波动下门限自回归模型的适应性研究 |
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| 引用本文： | 张亮,孙宏义,费为银.汇率波动下门限自回归模型的适应性研究[J].安徽机电学院学报,2012(3):91-94. |
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| 作者姓名： | 张亮 孙宏义 费为银 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖241000 |
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| 基金项目： | 国家自然基金资助项目（71171003）;安徽省高校自然科学基金资助项目（kj2010a037）;安徽省教育厅高校青年教师基金资助项目（2006jq1150） |
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| 摘 要： | 针对汇率变化的非线性特征，采用非线性门限自回归模型对汇改后人民币／美元汇率的变化趋势进行分析，并与传统的线性时间序列模型结果进行比较，结果表明，非线性门限自回归模型精度较高．
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| 关 键 词： | 门限自回归模型 汇率 时间序列 非线性 |
Threshold autoregressive model adaptability under exchange rate fluctuations |
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| ZHANG Liang,SUN Hong-yi,FEI Wei-yin.Threshold autoregressive model adaptability under exchange rate fluctuations[J].Journal of Anhui Institute of Mechanical and Electrical Engineering,2012(3):91-94. |
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| Authors: | ZHANG Liang SUN Hong-yi FEI Wei-yin |
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| Affiliation: | (Coll. of Math. and Phy. ,Anhui Polytechnic University,Wuhu 241000,China) |
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| Abstract: | Abstract=For the non-linear feature of the exchange dopted for analyzing RMB/USD exchange rate trend. the results show that ones obtained by the threshold rate fluctuations,the threshold autoregressive model is a- Compared with the results provided by the linear model, autoregressive model are more accurate. |
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| Keywords: | threshold autoregressive models exchange rates time series nonlinear models |
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