【摘 要】
：
在介绍诺贝尔经济学奖得主 Engle 及合作者 Manganelli 于 1999 年提出的 CAViaR 模型理论及实际意义的基础上,采用 Hansen 检验方法重点探讨了中国股市风险 CAViaR 建模的稳
【机 构】
：
中国科学院数学与系统科学研究院,日本京都大学情报学研究科 北京100080 中国科学院研究生院,北京100080rrrrrrrrn,日本,京都606-8501
论文部分内容阅读
在介绍诺贝尔经济学奖得主 Engle 及合作者 Manganelli 于 1999 年提出的 CAViaR 模型理论及实际意义的基础上,采用 Hansen 检验方法重点探讨了中国股市风险 CAViaR 建模的稳定性问题.通过对上证综合指数与深圳成指的实证研究, 认为 Engle 及 Manganelli 所力荐的四个参数 CAViaR 模型用于中国股市风险建模是相当不稳定的,不能很好地适合现实的中国股票市场.鉴于此,提出了具有时变参数的 CAViaR,模型通过失败率检验法得到了相对较好的结果,明显地提高了模型的度量与防范市场风险能力.
Based on the CAViaR model theory proposed by Nobel laureate Engle and collaborator Manganelli in 1999 and its practical significance, this paper focuses on the stability of CAViaR modeling in China’s stock market by using Hansen test method. Index and Shenzhen into a means of empirical research that the four parameters recommended by Engle and Manganelli CAViaR model used in China’s stock market risk modeling is quite unstable and not well suited to the reality of the Chinese stock market in view of this, The CAViaR model with time-varying parameters obtains relatively good results through the failure rate test, which obviously improves the measurement of the model and the ability to prevent market risk.
其他文献
Lanthanum titanate (La2/3TiO3) powders were synthesized by hydrothermal method based on the reaction of TiO2, La(NO3 )3 and KOH at 160 ℃ for 24 h followed by t
Lutein and lutein esters in marigold flowers was quantitatively determined by high performance chromatography (HPLC) with ODS-C18 column. A mixture of CH3CN - C
Three s-triazine derivatives have been synthesized and their structures been determined. These are Compound I: 2,4-dimethyl-6-(p-N,N-dimethylaminostyryl)-s-tria
Utilizing the Liapunov functional method and combining the inequality of matrices technique to analyze the existence of a unique equilibrium point and the globa
A model classification rate control method for video coding is proposed. The macro-blocks are classified according to their prediction errors, and different par
指出了目前矿井运提系统可靠性研究存在的问题,论述了矿井运提系统可靠性的概念定义,分析建立了软性连接仓运系统有效度模型、多工作面运输系统模糊有效度模型和矿井多工作面
A novel method based on ant colony optimization (ACO), algorithm for solving the ill-conditioned linear systems of equations is proposed. ACO is a parallelized
针对两层规划问题本质上的非凸性和不可微性给其数值求解带来极大困难,特别是求非线性两层规划问题的全局最优解,而遗传算法不受这些因素的限制,设计了一种新的有效的遗传算
L-lactide was prepared from L-lactic acid with stannous octoate as the catalyst. The effects of reaction temperature and pressure on the ingredient of crude lac
The ageing behavior of an Nb-bearing microalloyed steel at 525℃ was investigated by thermo-simulation test, hardness measurements and transmission electron mic