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基于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：统计研究, 2010,27（9），78-83.
  • 时间：0
  • 分类：C812[社会学—统计学;经济管理]
  • 作者机构：[1]中国科学技术大学
  • 相关基金：国家自然科学青年科学基金项目（71001095）; 安徽省自然科学基金（090416245）; 创新研究群体科学基金项目（70821001）; 教育部科学技术研究重大研究项目（309017）资助
  • 相关项目：分布系统的协调优化与风险管理
关键词： 分位点回归模型, “已实现”波动率, 条件VAR, 杠杆效应, Quantile Regression Model, Realized Volatility, Conditional Value at Risk（VaR）, Leverage Effect
中文摘要：

在文献中,分析杠杆效应时大多数都是基于ARCH类模型,本文应用分位点回归模型及其变点检测模型分析了＂已实现＂波动率条件下的CVaR,并尝试从CVaR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,并对中国股市的杠杆效应进行了分析。

英文摘要：

The leverage effect is often analyzed by ARCH type models in most articles.In This paper,the quantile regression model and the change-point model is used to estimate the CVaR,which is conditioned on the realized volatility.And the leverage effect is analyzed from a point of view of CVaR.At last,through the empirical analysis of stock market of China,we estimate the CVaR and analyze the leverage.

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期刊论文 23 著作 1
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