| 基于分位点自回归模型的动态持续期风险估计 |
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| 引用本文： | 叶五一,缪柏其,吴遵.基于分位点自回归模型的动态持续期风险估计[J].数理统计与管理,2010,29(3). |
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| 作者姓名： | 叶五一 缪柏其 吴遵 |
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| 作者单位： | 中国科学技术大学管理学院统计与金融系,安徽合肥,230026 |
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| 基金项目： | 国家自然科学基金10471135; 安徽省自然科学基金090416245; 教育部博士点基金; 中国科学院和中国科技大学创新基金; 中国科学技术大学青年教师研究基金 |
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| 摘 要： | 两笔交易之间的持续期可以用来度量资产的流动性,本文借鉴VaR的思想,提出了持续期风险DaR的定义,可以用来度量资产的流动性风险,并给出了两种DaR的静态估计方法。同时根据持续期数据的序列相关的特点,应用分位点自回归方法得到了DaR的一种有效的动态估计方法。最后对我国股票市场的单只股票的分笔交易数据进行了实证分析,结果表明由分位点自回归方法得出的DaR结果预测效果最好。
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| 关 键 词： | 流动性 持续期 持续期风险 分位点自回归 |
Dynamic Estimator of Duration at Risk Based on Quantile Autoregression Model |
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| YE Wu-yi,MIAO Bai-qi,WU Zun.Dynamic Estimator of Duration at Risk Based on Quantile Autoregression Model[J].Application of Statistics and Management,2010,29(3). |
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| Authors: | YE Wu-yi MIAO Bai-qi WU Zun |
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| Institution: | YE Wu-yi MIAO Bai-qi WU Zun (Department of Statistics , Finance,School of Management,University of Science , Technology of China,Anhui Hefei 230026,China) |
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| Abstract: | Duration between two trades can be used to measure the capital liquidity.In this paper, the Duration at Risk is proposed based on the idea of Value at Riak which can be considered as a measurement of liquidity risk,and two static estimating methods of it are also presented.Because of the serial dependent character of the duration data,the quantile autoregression method is used to obtain the dynamic estimator of DaR.At last,an empirical analysis of the tick-by-tick data of a stock is given,and a significant ... |
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| Keywords: | liquidity duration duration at risk quantile autoregression |
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