| 多维条件方差偏度峰度建模 |
| |
| 引用本文： | 王春峰,庄泓刚,房振明,卢涛.多维条件方差偏度峰度建模[J].系统工程理论与实践,2010,30(2):324-331. |
| |
| 作者姓名： | 王春峰 庄泓刚 房振明 卢涛 |
| |
| 作者单位： | 天津大学,管理学院,金融工程研究中心,天津,300072 |
| |
| 摘 要： | 为了考察多个市场或多个金融资产之间的高阶矩风险度量问题,有效地捕获收益率时间序列高阶矩动态特征,在考虑当前预期和波动性条件下,推导了高阶中心矩和协矩之间的关系,提出了能够有效解决维数灾祸问题的多维条件高阶矩模型.在多维S_U分布基础上,采用动态条件相关性(DCC)和自回归条件密度技术,通过智能优化算法对条件高阶矩模型的时变参数进行估计.实证研究结果表明,多维条件高阶矩模型较好的拟合了收益率时间序列高阶矩动态特征,与之前的高阶矩模型相比,能够有效解决高阶矩模型的维数灾祸问题,表明该模型能够捕捉到我国多个市场之间高阶矩风险特征,提高多维条件高阶矩模型测度能力.
|
| 关 键 词： | 高阶矩 SU分布 动态条件相关性 自回归条件密度 |
Modeling multivariate conditional variance skewness kurtosis |
| |
| WANG Chun-feng,ZHUANG Hong-gang,FANG Zhen-ming,LU Tao.Modeling multivariate conditional variance skewness kurtosis[J].Systems Engineering —Theory & Practice,2010,30(2):324-331. |
| |
| Authors: | WANG Chun-feng ZHUANG Hong-gang FANG Zhen-ming LU Tao |
| |
| Institution: | WANG Chun-feng,ZHUANG Hong-gang,FANG Zhen-ming,LU Tao (Financial Engineering Research Center,School of Management,Tianjin University,Tianjin 300072,China) |
| |
| Abstract: | Considering factors of anticipation and volatility,to measure the dynamic character of higher moments risk and investigate impacts of the risk on multi-financial markets or assets,a model of multivariate conditional higher order moments,which can solve the problem of 'dimension disaster',was proposed with the determination of the formulas between moments and co-moments.Time-varying parameters of higher order moments were estimated using Dynamic Conditional Correlation,Autoregressive conditional density and ... |
| |
| Keywords: | higher order moments S_U distribution dynamic conditional correlation autoregressive |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
|
