| 金融风险的持续性及其规避策略 |
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| 引用本文： | 张世英,李汉东,樊智. 金融风险的持续性及其规避策略[J]. 系统工程理论与实践, 2002, 22(5): 31-36. DOI: 10.12011/1000-6788(2002)5-31 |
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| 作者姓名： | 张世英 李汉东 樊智 |
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| 作者单位： | 天津大学管理学院 |
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| 基金项目： | 国家自然科学基金 ( 70 1 71 0 0 1 ) |
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| 摘 要： | 从动态角度研究金融风险问题 .金融时间序列波动持续性反映金融风险的相关性 .讨论了波动持续性的协同持续关系 ,基于协同持续的概念 ,讨论风险的规避策略 .给出一个有关汇率的实证分析 ,以支持文中的结论 .最后 ,指出了未来可能的研究问题.
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| 关 键 词： | 持续性 协同持续性 风险 组合投资 时间序列 |
| 文章编号： | 1000-6788(2002)05-0031-06 |
| 修稿时间： | 2000-09-04 |
The Persistence of Financial Risk and Its Avoiding Strategy |
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| ZHANG Shi-ying,LI Han-dong,FAN Zhi. The Persistence of Financial Risk and Its Avoiding Strategy[J]. Systems Engineering —Theory & Practice, 2002, 22(5): 31-36. DOI: 10.12011/1000-6788(2002)5-31 |
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| Authors: | ZHANG Shi-ying LI Han-dong FAN Zhi |
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| Affiliation: | Management School, Tianjin University |
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| Abstract: | The paper studies the financial risk problems from dynamic viewpoint. The volatility persistence in variance of financial time series indicates that the risk is dependent each other. In this paper, the co-persistence in variance for volatility persistence is discussed, and based on the co-persistence concept we discuss the avoiding strategy of financial risk. The analyzing to the actual data of exchange rates supports the conclusions in this paper. Finally, the further possible research topics are given. |
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| Keywords: | persistence co-persistence risk portfolio time series |
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