|
|||||
|
|
| VaR方法在证券市场尖峰、胖尾分布中的实证分析 | |
| 引用本文： | 邹新月,吕先进. VaR方法在证券市场尖峰、胖尾分布中的实证分析[J]. 数学的实践与认识, 2003, 33(7): 59-64 |
| 作者姓名： | 邹新月 吕先进 |
| 作者单位： | 1. 湖南科技大学经管系,湖南,411201 2. 上海财经大学金融学院,上海,200083 |
| 基金项目： | 湖南省自然科学基金项目阶段性成果之一 ( 0 2 JJY2 1 0 7) |
| 摘 要： | 标准 Va R方法的假设条件与实际数据之间存在较大的差距 ,而差距是必严重影响 Va R方法的实际应用效果 .为此 ,本文从实际数据的基本特征出发 ,讨论了 Va R方法在尖峰、胖尾分布中的计算公式 ,并使用该计算公式对我国证券市场的实际数据进行了实证分析 .分析结果表明 ,推广的 Va R计算方法对证券市场风险预警有更可靠的揭示作用 . |
| 关 键 词： | VaR 尖峰 胖尾 返回检验法 |
| 修稿时间： | 2003-04-04 |
The Demonstration Analysis for the VAR Means in the Negotiable Securities Market Aiguille and Fat-tail Branch |
|
| ZOU Xin yue ,LU Xian jin. The Demonstration Analysis for the VAR Means in the Negotiable Securities Market Aiguille and Fat-tail Branch[J]. Mathematics in Practice and Theory, 2003, 33(7): 59-64 | |
| Authors: | ZOU Xin yue LU Xian jin |
| Affiliation: | ZOU Xin yue 1,LU Xian jin 2 |
| Abstract: | the criteria VaR means hypothesis condition have a lot of different from actual data, the difference certainly impact VaR means effect for the factual applying. For this reason,this paper base actual data of the essence characteristic, to discuss calculate formula VaR means in the the aiguille and fat tail branch, and make use of the calculate formula to carry out demonstration analysis for the stock market. The analytic consequence show spread VaR calculate formula means for the negotiable securities risk indicate having credible reveal affect. |
| Keywords: | VaR aiguille fat tail Backtesting |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |