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在金融市场风险管理研究中,利用参数及半参数模型度量风险价值并不足以体现投资行为的异质性及资产价格波动的多尺度特征.引入概率密度的小波非线性阈值估计方法,建立了风险价值的多尺度估值模型,并分析了估值误差的收敛性,发现密度函数空间的光滑度和样本容量同时决定均方误差的收敛速度.最后以正态密度函数为算例,通过不同容量的仿真样本检验了该理论方法的可行性.
In the study of financial market risk management, using the parameters and semiparametric models to measure VaR is not enough to reflect the heterogeneity of investment behavior and the multi-scale features of asset price volatility.With the introduction of probability density wavelet nonlinear threshold estimation method, risk Value of the multi-scale valuation model, and analysis of the convergence of the valuation error and found that the smoothness of the density function space and sample size at the same time determine the mean square error convergence rate.Finally, the normal density function as an example, through different capacity The simulation sample tests the feasibility of this theoretical method.