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基于Bayesian-SV-SGT模型的原油价格'Value at Risk'估计
柴建1; 郭菊娥1; 龚利1; 汪寿阳2
2011
Source Publication系统工程理论与实践
ISSN1000-6788
Volume031Issue:001Pages:8
Abstract从分析原油现货市场收益率的统计特征入手,为更好地刻画原油现货市场收益率的尖峰厚尾、偏态及波动集聚性和持续性的波动特性,引入SGT分布来描述原油市场价格的分布特征,利用SV模型来度量国际原油市场的价格波动率.同时,基于Bayesian原理,利用MCMC方法来解决SV模型的参数估计难题,建立了Bayesian-SV-SGT模型,并对国际原油现货价格"VaR"(Valueat Risk)进行了估计和分析.研究结果表明,相对GARCH类-GED模型而言,Bayesian-SV-SGT模型更好地刻画了原油现货市场收益特征,并能更加精确地刻画原油现货市场的价格风险.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/39213
Collection系统科学研究所
Affiliation1.西安交通大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
柴建,郭菊娥,龚利,等. 基于Bayesian-SV-SGT模型的原油价格'Value at Risk'估计[J]. 系统工程理论与实践,2011,031(001):8.
APA 柴建,郭菊娥,龚利,&汪寿阳.(2011).基于Bayesian-SV-SGT模型的原油价格'Value at Risk'估计.系统工程理论与实践,031(001),8.
MLA 柴建,et al."基于Bayesian-SV-SGT模型的原油价格'Value at Risk'估计".系统工程理论与实践 031.001(2011):8.
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