| 基于Bootstrap方法的VaR区间估计 |
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| 引用本文： | 曾翀,万建平.基于Bootstrap方法的VaR区间估计[J].经济数学,2009,26(1):58-63. |
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| 作者姓名： | 曾翀 万建平 |
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| 作者单位： | 华中科技大学数学与统计学院,湖北武汉,430074 |
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| 摘 要： | 本文介绍了非参数方法中基于自助法的三种区间的估计方法,并将它们应用到金融资产的VaR计算上.自助法很好地克服了历史模拟法的一些局限性.本文对上证综合指数(IA0001)进行了VaR计算的实证分析,计算了VaR点估计和区间估计,并比较了几种计算方法各自的特点,得出了一些有意义的结果.
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| 关 键 词： | 自助-t法 百分位法 修正百分位法 核密度估计 在险价值VaR |
INTERVAL ESTIMATE FOR VAR BASED ON BOOTSTRAP METHOD |
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| Zeng Chong,Wan Jianping.INTERVAL ESTIMATE FOR VAR BASED ON BOOTSTRAP METHOD[J].Mathematics in Economics,2009,26(1):58-63. |
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| Authors: | Zeng Chong Wan Jianping |
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| Institution: | Dep.of Math;Huazhong Univ.of Science and Technoliogy.Wuhan;430074;China |
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| Abstract: | Three kinds of confidence intervals based on bootstrap method were introduced and used in the VaR evaluation of financial capital.Bootstrap method overcomes many defects of parametric method and history simulation methodl.In this paper VaR of The Shanghai Composite Index was calculated,both point estimator and confidence interval were given.By comparing those methods,some significant results were found. |
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| Keywords: | Bootstrap-t percentile BCa kernel density estimate VaR |
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