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基于有效波动率的市场一般性风险测度研究

发布时间:2018-09-10 15:39
【摘要】:鲁棒跳跃的波动率估计是波动率研究的新方向。本文首先采用蒙特卡洛模拟技术检验鲁棒跳跃波动率估计量MedRV的有效性以及预测的准确性,结果表明:MedRV能够有效鲁棒跳跃行为,得到有效波动率(EV)的估计量,同时相对于双幂次变差(BV)有更好的预测准确性。然后基于MedRV估计量构造了市场一般性风险测度,并对中国证券市场一般性风险分布特征进行了研究,结果表明:基于MedRV估计量所得到的MedRV-VaR指标可以有效摒除极端市场风险因子,得到市场一般性风险测度。
[Abstract]:The volatility estimation of robust jump is a new direction of volatility research. In this paper, Monte Carlo simulation technique is used to test the validity of robust jump volatility estimator (MedRV) and the accuracy of prediction. The results show that: MedRV can effectively robust jump behavior and obtain the estimate of effective volatility (EV). At the same time, the prediction accuracy of (BV) is better than that of (BV). Then the general risk measure is constructed based on MedRV estimator, and the characteristics of general risk distribution in Chinese stock market are studied. The results show that the MedRV-VaR index based on MedRV estimator can effectively exclude the extreme market risk factors. Get the market general risk measurement.
【作者单位】: 天津大学管理学院;
【基金】:国家自然科学基金(70572043) 天津市科技发展战略研究计划项目(09ZLZLZT04500)
【分类号】:F224;F832.51


本文编号:2234876

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