| 基于CAViaR的DCC模型及其对中国股市的实证研究 |
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| 引用本文： | 陈功,程希骏,马利军. 基于CAViaR的DCC模型及其对中国股市的实证研究[J]. 数学的实践与认识, 2009, 39(4) |
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| 作者姓名： | 陈功 程希骏 马利军 |
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| 作者单位： | 1. 中国科学技术大学,统计与金融系,合肥,230026
2. 深圳大学,管理学院,深圳,518060 |
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| 基金项目： | 中国科学院知识创新工程重要方向项目 |
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| 摘 要： | VaR是金融风险度量方面研究的热点.CAViaR模型可以用来直接计算单个资产的VaR,DCC模型可以用于刻画资产间的相关性.结合这两个模型,通过分位数估计方差的方法,提出了基于CAViaR的DCC模型来计算投资组合的VaR.对中国股市的实证研究表明其具有更好的效果.
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| 关 键 词： | CAViaR DCC 分位数估计方差 |
DCC Model Based on CAViaR And Its Empirical Study on Chinese Stock Markets |
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| CHEN Gong,CHENG Xi-jun,MA Li-jun. DCC Model Based on CAViaR And Its Empirical Study on Chinese Stock Markets[J]. Mathematics in Practice and Theory, 2009, 39(4) |
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| Authors: | CHEN Gong CHENG Xi-jun MA Li-jun |
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| Abstract: | Value at risk(VaR) has been widely used in the measure of finance risk.Conditional Autoregressive Value At Risk(CAViaR) model can measure the VaR of individual asset directly.Dynamic Conditional Correlation(DCC) model can be applied to describe the correlation between assets.In current paper,utilizing the technique of estimating variance by quantiles,we establish a DCC model based on CAViaR that can be applied to estimate the VaR of portfolios through combining these two models.Empirical study results are in favor of the new model. |
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| Keywords: | CAViaR DCC |
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