截线性矩论文：基于VaR模型对中国股市的实证研究.docVIP

截线性矩论文：基于VaR模型对中国股市的实证研究 【中文摘要】金融风险普遍存在，金融风险一旦发生，常常带来巨大的经济损失。对金融风险管理而言，金融风险度量已成为一个非常重要的课题，研究它具有极其重要的理论和现实意义。从Markowitz使用方差计量风险以来，新的风险测度不断涌现，风险测度理论也在风险管理实践过程中不断的得到完善和发展。VaR风险度量方法的出现使金融风险的定量研究得到进一步的发展。随着VaR方法在金融市场被广泛运用，VaR的准确度量显得至关重要。金融资产的收益率分布特征是所有金融模型的核心内容，传统的VaR模型一般先对收益率服从的分布作出某种假定，但是大量实证研究表明实际的收益率分布不服从事先假定分布。VaR值的准确度量不仅与资产收益率的分布有关，还与资产收益率的波动性有关，准确估计资产的波动率对于VaR的测量显得至关重要。本文在分析了VaR和CVaR的研究动态的基础上，讨论VaR风险测度的相关问题，在对VaR模型进行了深入研究，包括极值波动下VaR风险度量及其高频数据波动的VaR风险估计：基于极值理论方法和截线性矩估计方法刻画收益率分布的尾部特征，解决了传统中心矩不能对厚尾分布进行矩估计的问题，并把它应用到中国股市的风险状况的研究中。另外，本文还从高频数据特征出发，将高频金融数据的已实现波动率引用到基于Cornish-Fisher的VaR模型当中。我国股市市场投资风险比较大，不仅涨跌的幅度较大，而且发生较大涨跌幅度的频率较高。上证综合指数和沪深300指数反映了上海和深圳证券市场的股票价格变动情况，与中国的经济联系最为紧密。本文对VaR模型在中国股市中进行了实证研究，重点考察了中国股市的金融风险情况，实证结果表明：与正态分布假设下的VaR值相比，通过这两种方法计算的VaR值更加的准确。 【英文摘要】Financial risks exist in financial market.Once the financial risks happen,they oftenbring huge economical losses.The risk measurement has become a very importantissue to risk management in financial market.It has great theoretical and practicalsignificance to study on it.Since the Markowitz using the variance to measure therisk,with the new risk measurement being produced,the risk measure theory has beenimproved and developped continuously in the practice.With the VaR method widely used in th financial modeling, the accuracy is verycrucial to VaR measurement.The characteristics of financial return rate are the corecontent to all financial models, the traditional VaR estimation methods generallymake some assumptions that the return obey the assumed distribution in advance,but alarge number of empirical studies show that the actual rate of return distribution is notobey assumptions to distribution.The VaR measure is not only concerned withassumptions to distribution,but also related with the volatility of the return series.This paper discussed the issues associated with VaR risk measure on the analysisof the CVaR and VaR model, and we do further research, including VaR measurementunder the extreme volatility and h