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基于虚拟变量分位点回归模型的条件VaR估计以及杠杆效应分析
  • 期刊名称：中国管理科学
  • 时间：2010.8.8
  • 页码：1-7
  • 分类：F830.9[经济管理—金融学]
  • 作者机构：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026
  • 相关基金：国家自然科学基金资助项目（71001095）;国家自然科学基金创新研究群体科学基金资助项目（70821001）;安徽省自然科学基金资助项目（090416245）;教育部科学技术研究重大研究项目（309017）
  • 相关项目：高频数据中相依风险度量的方法以及应用研究
作者： 叶五一|陈杰成|缪柏其|
关键词： 虚拟变量分位点回归模型, “已实现”波动率, 条件VAR, 杠杆效应, dull variable quantile regression model, realized volatility, conditional value at risk（VaR） , leverage effect
中文摘要：

已有成果在研究杠杆效应时大多数都是基于ARCH类模型，从波动率的角度进行分析的。本文应用分位点回归模型以及含有虚拟变量的分位点回归模型分析了“已实现”波动率条件下的CVaR，并尝试从市场风险的角度对杠杆效应进行分析。最后，对中国股票市场进行了实证研究，得到了“已实现”波动率条件下的CVaR估计，并从风险的角度证实了中国股市的市场风险存在杠杆效应。

英文摘要：

The leverage effect is often analyzed by ARCH type models in most articles. In This paper, the dull variable quantile regression model is used to estimate the CVaR, which is conditioned on the realized volatility. And the leverage effect is analyzed from view of market risk. At last, an empirical analysis of Stock market of China is presented. The CVaR is estimated, and the leverage is also verified.

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