quantile 在 宏观经济管理与可持续发展 分类中 的翻译结果

  本文关键词：智力资本与公司绩效的相关性——基于分量回归的实证分析，，由笔耕文化传播整理发布。

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quantile

    The upper control limit(UCL) is obtained by determining the α/2 quantile of the T~2 distribution to give a false alarm rate of α/2.The upper prediction control limit(UPCL) is obtained by determining the 1 - λα/ 2 quantile of the T_2 distribution.

    控制上限(UCL)取Hotelling的T2统计量的α/2上侧分位数。 预控上限(UPCL)取Hotelling的T2统计量的λα/2上侧分位数。

短句来源

    A New Perspective on the Cross-sectional Return in China' s Stock Market: Quantile Regression

    中国股市截面收益率再研究:分位数回归方法

短句来源

    Value at risk is a tool which be widely used in application to financial risk management and regarded as extreme quantile method.

    风险价值(VaR)是金融风险管理中应用最广泛的一种工具，其测量方法可以看作是一种极端分位数的方法。

短句来源

    The computation of VaR and ES is essentially the computation of quantile of return series. Therefore, having finished the quantile regression procedures, we can evaluate the VaR and ES almost with no effort.

    另一方面，风险管理问题中的风险度量标准VaR(Value of Risk)和ES(Expected Shortfall)的计算，本质上是对损益系列的分位数(Quantile)的计算，所以，Quantile回归是VaR类和ES类风险管理问题中天然的计算工具。

短句来源

    It can be included that normalcopula is fit for the quantile of 90%,95% and t-copula is fit for the quantile of 99%.

    在99%分位数下使用t相关结构拟合比较合适。

短句来源

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    Endogenous Quantile Level in VaR Modeling

    VaR模型中的分位点水平内生化

短句来源

    Therefore, we propose toinvestigate the choice of confidence level basing on the inner factors of the models andconsider setting the quantile level endogenously.

    因此,本文建议依 VaR据模型的内部因素考察分位点水平的选择,并提出两个统计量以选取最优分位点水平取值区间,从而将分位点水平内生化。

短句来源

    Basing on the ideaof backtesting, we expanded the application of DQ (dynamic quantile) test proposed byEngle and Manganelli(1999), and through a serial of Mont Carlo simulation we testifiedthat many models’ DQ values are very flexible to confidence level. We pick out the stableregions where theDQθ values are consecutively significant.

    基于后续检验的思想,本文拓展了 Engel 和 Manganelli(1999)提出的样本外 DQ(Dynamic quantile)统计量的应用,并通过一系列蒙特卡罗试验证实,很多模型的 DQ 统计量的取值对分位点水平的变化是非常敏感的。

短句来源

    Anatural inference of this research is, a corresponding variation is apt to occur to VaRmodel’s prediction ability in according to the domain of quantile selected.

    研究的一个自然的推论是,由于分位点所区间不同,不同的模型预测能力可能发生特定的变化。

短句来源

    Secondly, we proposed the indirect-adequacy-of-fit statistics to fill the gap ofgoodness-of-fit in quantile regression, and its rationality and effectiveness is to bestudied and testified further.

    第二,本文提出了间接拟合优度(IAF)指标,填补了分位点回归方法缺乏拟合优度指标的空白,但其合理性和有效性尚待进一步验证。

短句来源

    The Association between Intellectual Capital and Corporate Performance——An Empirical Analysis Based on Quantile Regression

    智力资本与公司绩效的相关性——基于分量回归的实证分析

短句来源

    State Ownership,Soft Budget Constrains,and Frim Value:Empirical Analysis Based on Quantile Regression Approach

    国有股权、预算软约束与公司价值:基于分量回归方法的经验分析

短句来源

    Quantile Regression and Its Applications in Statistical Analysis of the Log-return Series of the Stock Prices and VaR Type Modelling

    Quantile回归及其在金融收益率分析和VaR类风险管理模型中的运用

短句来源

    In this article, we apply the Quantile regression method to both the determining the empirical conditional distributions of log return series of some Chinese stock prices and the VaR type modelling in risk management.

    本文首次利用Quantile回归思想研究了金融收益率(log return)的分布问题和风险管理问题。

短句来源

    As a demonstration, this article also carries out an extensive study of the conditional distribution of SA (600104, Shanghai Automotive Co.,Ltd) by quantile regression.

    作为例子，本文利用线性Quantile回归模型拟合了上海汽车的收益率条件分布，将这个结果与用Quantile分布族拟合的结果做了比较，发现结果基本一致，因此可以用第一类分布作为上海汽车日收益率的真实条件分布。

短句来源

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  quantile

A Linear Two-Stage Stochastic Programming Problem with Quantile Criterion: Its Discrete Approximation

Algorithms for solving a linear two-stage stochastic programming problem with quantile criterion are designed.

The distribution of the logarithm of the estimate ratio to the true quantile is asymptotically normal.

The logarithmic and quantile strategies belonging to the class of program strategies and aimed at overcoming this paradox were compared.

The design of optimal confidence sets is reduced to optimization of a quantile function.

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OLS (Ordinary Least Square) regression merely reports the conditional expectation. However, QR (Quantile Regression) makes use of local information of the entire distribution, thus is superior in most applications, especially for fat-tailed financial data. In this paper, by utilizing both OLS and QR, we investigate systematic risk factors, such as market betas, size and book-to market ratio, for cross-sectional returns in China' s stock market. As expected, the QR method tells more stories. There is a...

OLS (Ordinary Least Square) regression merely reports the conditional expectation. However, QR (Quantile Regression) makes use of local information of the entire distribution, thus is superior in most applications, especially for fat-tailed financial data. In this paper, by utilizing both OLS and QR, we investigate systematic risk factors, such as market betas, size and book-to market ratio, for cross-sectional returns in China' s stock market. As expected, the QR method tells more stories. There is a positive size effect, which becomes stronger for higher quantiles. With respect to book-to-market effect, we find positive effect in lower quantile, yet negative effect in higher quantiles.

分位数回归方法因为考虑了分布函数的各局部信息而比只考虑条件期望的普通最小二乘回归方法更具有优势,特别是在具有厚尾分布的金融数据分析方面,提供了更详尽的信息。本文通过分位数回归方法重新审视中国股市截面收益率的共同风险因子,查看是否存在规模效应与帐面市值比效应。结果发现,分位数回归结果与普通最小二乘结果显著不同,不同分位数下回归系数及其统计显著性都存在巨大差异。股票收益率与规模正相关的规模效应显著,且高收益率部分的正规模效应更加强烈。帐面市值比效应在低收益率部分正相关,高收益率阶段负相关,中间部分不显著。

The issue of disparity in income per capita between rural and urban China is attractive.Based on the household surveys and the methods of decomposition of Theil index,G·Fields method,Blinder,and quantile regression,the article discusses the pure "urban-rural" effect on national inequality.The results show the urban-rural disparity is expanding,and quantile regression implies the urban-rural disparity will have more negative effects on the lower income rural households.

中国城乡居民收入差距已经引起广泛关注。文章以住户调查数据为基础,利用泰尔指数分解、G.Fields分解、Blinder分解、分位回归分解等多种方法讨论了1988年、1995年和2002年“城乡”因素本身对城乡居民收入差距的贡献。这些分解结果表明我国的城乡差距较显著并在不断扩大;而且城乡差距更不利于农村中的低收入人群。

This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market.We compares the global minimum risk portfolios of the different models:semi-absolute deviation model,weighted absolute deviation from the quantile model(Ruszczynski & Vanderbei,2003)and mean-variance model.The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than...

This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market.We compares the global minimum risk portfolios of the different models:semi-absolute deviation model,weighted absolute deviation from the quantile model(Ruszczynski & Vanderbei,2003)and mean-variance model.The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than the mean-variance model.

利用上海证券市场的实际交易数据对半绝对离差模型,基于分位数的绝对离差模型(Ruszczynski&Vanderbei,2003)以及MV模型进行了实证比较.通过分析各模型的全局最小风险组合,计算发现,半绝对离差模型比其他模型具有更好的样本外业绩.

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  本文关键词：智力资本与公司绩效的相关性——基于分量回归的实证分析，由笔耕文化传播整理发布。