| 基于收益长期相关的风险度量及投资期限效应 |
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| 引用本文： | 舒建平,胡培,范钛.基于收益长期相关的风险度量及投资期限效应[J].系统管理学报,2005,14(5):462-466. |
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| 作者姓名： | 舒建平 胡培 范钛 |
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| 作者单位： | 西南交通大学,经济管理学院,成都,610031 |
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| 摘 要： | 在资产收益具有长期相关性的框架下,从序列可预测性的角度将风险定义为实际与预测结果的偏差;认为该风险能够用序列中的噪声进行度量。在此基础上,还以不同抽样间隔的上证综合指数收益序列对风险度量的投资期限效应进行了考察。
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| 关 键 词： | 风险度量 投资期限效应 长期相关性 |
| 文章编号： | 1005-2542(2005)05-0462-05 |
| 修稿时间： | 2004年9月20日 |
Risk Measurement Based on Returns' Long-term Dependence and Investment Horizon Effect |
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| SHU Jian-ping,HU Pei,FAN Tai.Risk Measurement Based on Returns'''' Long-term Dependence and Investment Horizon Effect[J].Systems Engineering Theory·Methodology·Applications,2005,14(5):462-466. |
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| Authors: | SHU Jian-ping HU Pei FAN Tai |
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| Abstract: | Risk can be defined as difference between the real and forecasted result from the point of series predictability under the framework of existence of long-term dependence in return series,and can be measured by the noise of return series according to this paper.On basis of this,also studied the investment horizon effect or risk measurement with different sampling interval of index retun series of Shanghai stock market. |
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| Keywords: | risk measurement investment horizon effect long-term dependence |
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