金融计量经济学

本文把标值随机点过程的理论移植到金融计量经济学中，通过定义表征价格运动的标值随机点过程强度计算公式，导出了甚高频金融交易数据的样本函数密度公式，以及最大似然估计方程式。

This paper transplants marked point process theory to financial econometrics to analyze ultra-high-frequency data , derives sample function density and its maximum likelihood estimating formulation .

在金融计量经济学和时间序列分析领域中，已经建立了一类的数量模型来分析金融市场上的波动特征，如著名的ARCH类模型。

There have been a class of econometric models were built in the field of financial econometrics , such as ARCH-type models .

数据及处理方法的独特性使金融计量经济学相对独立于传统计量经济学而发展。

Maintaining its special characteristics , the financial econometrics will develop independently of traditional econometrics .

金融计量经济学：成就和挑战

Financial econometrics : achievements and challenges

在研究中，本文将金融计量经济学方法作为研究的基本方法。

The fundamental methods in this dissertation are the techniques from the financial econometrics and the guiding modeling methodology .

本文通过对近20年来金融计量经济学主要发展成就的回顾，介绍了计量经济学研究的热点领域和有待解决的问题。

The paper gives a brief retrospect of the main achievements of financial econometrics in the past two decades and discusses the hot spot of research in this field .

本文研究了金融计量经济学中甚高频交易数据建模及甚高频模拟检验、实证对比检验随机行走相关理论的问题。

This paper studies ultra-high-frequency data modeling and some financial theory testing about random walk 、 trends and efficiency of technical analysis with Monte Carlo experiment data and empirical data .

应用金融计量经济学的理论对巴拿马型干散货船一年期期租市场中的参数进行估计，通过模型计算得出巴拿马型干散货船一年期期租的投资临界值并对参数进行敏感性分析。

The parameters of Panamax dry bulk carrier in the year-term lease market was estimated by the application of financial econometrics theory , the investment threshold of year-term-lease Panamax dry bulk carrier was calculated by the model and parameter sensitivity analysis was made .

主要研究和教学领域：资产定价，实证金融，计量经济学方法，金融衍生产品市场。

Research and teaching : asset pricing , empirical finance , econometric methods , and derivative markets .

在现代金融研究中，计量经济学已成为研究的重要手段。

In the modern financial study , econometrics has become an important research means .

理论分析综合运用了金融学、金融统计学、计量经济学、贝叶斯统计学的相关理论。实证分析以贝叶斯方法为主。

In the theory analysis , the theories of finance , finance-statistics , econometrics and Bayesian Statistics are applied ina comprehensive way .

本文认为，ARCH模型以及在此基础上发展起来的其他异方差模型、GMM以及与之相关的参数估计方法的出现以及在金融经济学中成功的运用，是金融计量经济学最重要最基本的成就；

It is believed in this paper that ARCH and GARCH model , GMM estimation procedure and its application in financial economics has served as the cornerstone in theoretical and empirical research of fiance .

结论表明金融数据和计量方法的独特性已经使得金融计量学成为计量经济学中最为活跃和相对独立的研究领域之一。

It is concluded that it is the uniqueness of financial data and new statistical methods that have made financial econometrics to be a most active and independent field in econometrics .