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摘要翻译：
本文利用Caner和Hansen提出的单位根无约束双机制门限自回归(TAR)模型，研究了上海证券交易所综合指数(SSEC)在1990：12-2007：06期间的行为。该方法允许我们同时考虑金融时间序列中的非平稳性和非线性。我们的研究结果表明，上海股票市场表现出两种制度下的非线性行为，并且在两种制度下都有单位根。本文还讨论了阈值效应在股票市场中的重要意义。
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英文标题：
《Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence
from threshold unit root tests》
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作者：
Xi-Yuan Qian, Fu-Tie Song, Wei-Xing Zhou (ECUST)
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最新提交年份：
2007
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlinearity in financial time series. Our finding indicates that the Shanghai stock market exhibits nonlinear behavior with two regimes and has unit roots in both regimes. The important implications of the threshold effect in stock markets are also discussed.
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PDF链接：
https://arxiv.org/pdf/0707.2284
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