| ������е�VaR�ֲ��˹��Ƽ���Ӧ�� |
| |
| 引用本文： | ��־��,�ɻ�,�����.������е�VaR�ֲ��˹��Ƽ���Ӧ��[J].应用概率统计,2018,34(2):201-212. |
| |
| 作者姓名： | ��־�� �ɻ� ����� |
| |
| 作者单位： | ?????????????????, ??, 321013, ???????????????????, ???, 200433, ?й??????????????????з???, ????, 530022 |
| |
| 摘 要： |
|
| 关 键 词： | ????? ??????? VaR ???? |
Distribution Kernel Estimator of VaR and Its Applications for Mixing Sequences |
| |
| HU ZhiMin,XI Huan,HUANG MingHui.Distribution Kernel Estimator of VaR and Its Applications for Mixing Sequences[J].Chinese Journal of Applied Probability and Statisties,2018,34(2):201-212. |
| |
| Authors: | HU ZhiMin XI Huan HUANG MingHui |
| |
| Institution: | Department of Statistics, Shanghai University of Finance and Economics Zhejiang College, Jinhua, 321013, China,School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, 200433, China, Postal Savings Bank of China Nanning Branch,Nanning, 530022, China |
| |
| Abstract: | In the situation of \rho-mixing dependent sequences, this paper studied the mean square error and the optimal bandwidth of distribution kernel estimator nu_{p,h} of VaR. And the optimal bandwidth minimized the mean square error. The density function of Laplace distribution is used in the calculation of bandwidth
and we adopt the method of interpolation to compute specific value of bandwidth in this paper. According to the numerical simulations, the distribution kernel estimator is more accurate by comparing the performance of VaR distribution kernel estimation with a common order statistic. Finally, Shangzheng A-share index and Shenzheng B-share index are chosen for an empirical research, which concludes that the risk of the latter is significantly higher than that of the former. |
| |
| Keywords: | kernel estimation mixing sequences Value at Risk bandwidth |
|
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
| 点击此处可从《应用概率统计》下载免费的PDF全文 |
|
