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极值风险E—VaR及深圳成指实证研究
黄大山1; 刘明军2; 卢祖帝2
2005
Source Publication管理评论
ISSN1003-1952
Volume017Issue:006Pages:16
Abstract由于极端事件及政策性调整,中国股市出现了剧烈波动。鉴于当前各种VaR模型在较高置信水平时(≥0.99)会高估或低估VaR值,本文提出把E—VaR作为一种辅助的VaR度量方法.对新兴的中国股票市场进行风险调控与度量。通过POT方法建模与Boostrap模拟参数置信区间检验,深圳成指的实证结果表明,在极端市场条件下,E—VaR是令人满意的。
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/37615
Collection中国科学院数学与系统科学研究院
Affiliation1.日本京都大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
黄大山,刘明军,卢祖帝. 极值风险E—VaR及深圳成指实证研究[J]. 管理评论,2005,017(006):16.
APA 黄大山,刘明军,&卢祖帝.(2005).极值风险E—VaR及深圳成指实证研究.管理评论,017(006),16.
MLA 黄大山,et al."极值风险E—VaR及深圳成指实证研究".管理评论 017.006(2005):16.
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