基于门限加权不对称斜率模型的CAViaR研究

发布时间：2018-03-19 04:37

  本文选题：门限函数　切入点：不对称斜率　出处：《系统管理学报》2016年03期 　论文类型：期刊论文

【摘要】：同时运用门限函数和加权方法在常用的CAViaR模型中的AS模型基础上,提出了门限加权AS模型和门限加权I-AS模型,对亚洲股市各股指2000~2013年数据进行了分析,运用DQ检验、RQ值和LR统计量来比较各个模型的优劣。研究结果表明,发展中国家金融市场受到滞后风险的影响普遍大于发达国家金融市场受到滞后风险的影响。综合DQ检验、RQ值以及LR统计可知,本文提出的门限加权I-AS模型和门限加权AS模型比AS模型、加权AS模型以及门限AS模型要优越,且门限加权I-AS模型比门限加权AS模型更优越,特别是在5%水平时对发展中国家相对不成熟的金融市场更加具有明显的优势。
[Abstract]:At the same time, the threshold weighted as model and threshold weighted I-AS model are put forward on the basis of the common as model of CAViaR model by using threshold function and weighting method. The data of Asian stock indexes from 2000 to 2013 are analyzed. The RQ and LR statistics are used to compare the advantages and disadvantages of each model. The impact of lag risk on financial markets in developing countries is generally greater than that on financial markets in developed countries. The threshold weighted I-AS model and threshold weighted as model are superior to as model, weighted as model and threshold as model, and threshold weighted I-AS model is superior to threshold weighted as model. Especially at 5% level, it has obvious advantage to the relatively immature financial markets of developing countries.
【作者单位】： 中南财经政法大学金融学院;复旦大学经济学院;华中科技大学管理学院;
【基金】：国家自然科学基金资助项目(71171090)
【分类号】：F831.51;F224
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本文编号：1632897