CSpace
基于周期garch过程var的分位回归估计
赵彪1; 赵子龙2; 冯牧2
2017
Source Publication系统科学与数学
ISSN1000-0577
Volume37Issue:1Pages:253
Abstract近几年来,风险价值(VaR)已成为金融市场风险度量及风险管理的标准工具.文章用周期广义自回归条件异方差(GARCH)模型拟合金融市场数据,并应用分位回归方法得到此模型参数及条件VaR的估计,在一定条件下估计具有强相合性及渐近正态性,蒙特卡罗模拟结果表明此方法具有稳健性,且对于条件VaR的预测具有很高的准确性,沪深300指数的实证分析结果表明此方法关于VaR的预测具有非常好的效果.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/45396
Collection中国科学院数学与系统科学研究院
Affiliation1.中国科学技术大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
赵彪,赵子龙,冯牧. 基于周期garch过程var的分位回归估计[J]. 系统科学与数学,2017,37(1):253.
APA 赵彪,赵子龙,&冯牧.(2017).基于周期garch过程var的分位回归估计.系统科学与数学,37(1),253.
MLA 赵彪,et al."基于周期garch过程var的分位回归估计".系统科学与数学 37.1(2017):253.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[赵彪]'s Articles
[赵子龙]'s Articles
[冯牧]'s Articles
Baidu academic
Similar articles in Baidu academic
[赵彪]'s Articles
[赵子龙]'s Articles
[冯牧]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[赵彪]'s Articles
[赵子龙]'s Articles
[冯牧]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.