综述了时间序列频谱分析,尤其是一种广义频谱方法的新近发展.Hong (1999)提出的广义频谱是建立在通过特征函数进行的数据转换的基础之上,它可以刻画线性和非线性的相关关系,而通常的频谱或高阶频谱恰易将非线性的相关关系遗漏.还探讨了广义频谱在经济学和金融学中的广泛应用,其中包括市场有效性的检验 ,动态资产定价模型的正确性,价格变化方向的可预测性,风险值模型的完备性以及概率密度预测的最优性.“,”This paper reviews some recent development in time seri es spectral analysis,particularly a new generalized spectral method.The generali zed spectrum,proposed in Hong (1999),is based on a data transformation via the c haracteristic function.It can capture both linear and nonlinear dependencies.The latter may be easily missed by conventional power spectrum or higher order spec tra.A variety of applications of the generalized spectrum in economics and finan ce are discussed.Among them are tests of market efficiency,correct dynamic asset pricing,predictability of the direction of a price change,adequacy of value at risk models,and optimality of probability density forecasts.