Nonlinear Dynamic Structures
介绍基于条件矩的非线性脉冲响应分析方法，用于分析平稳时间序列的非线性动态结构，并应用于1928-1987年纽约证券交易所价格和成交量数据，发现杠杆效应和成交量对价格冲击的差异响应。
Methods for nonlinear impulse response analysis are introduced. The methods are based on conditional moment profiles defined for a stationary time series. Comparing conditional moment profiles to baseline profiles is the nonlinear analog of conventional impulse-response analysis. The bootstrap may be used for statistical inference. Profile bundles may be examined for evidence of damping or persistence. Application to bivariate NYSE price and volume series from 1928 to 1987 finds evidence of a heavily damped 'leverage effect' and a differential response of trading volume to 'common-knowledge' price shocks. Copyright 1993 by The Econometric Society.