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两笔交易之间的持续期可以用来度量资产的流动性,本文借鉴VaR的思想,提出了持续期风险DaR的定义,可以用来度量资产的流动性风险,并给出了两种DaR的静态估计方法。同时根据持续期数据的序列相关的特点,应用分位点自回归方法得到了DaR的一种有效的动态估计方法。最后对我国股票市场的单只股票的分笔交易数据进行了实证分析,结果表明由分位点自回归方法得出的DaR结果预测效果最好。
The duration of the two transactions can be used to measure the liquidity of assets. This article draws on the idea of VaR, and proposes the definition of duration risk DaR, which can be used to measure the liquidity risk of assets, and gives two kinds of DaR Static estimation method. At the same time, an effective method of dynamic estimation of DaR is obtained by using the autoregressive method based on the sequence-related features of duration data. Finally, empirical analysis is made on the transaction data of individual stocks in China’s stock market. The results show that the DaR results obtained from the sub-site autoregression are the best.