金融风险持续性及其规避策略研究

Research on Persistence of Financial Risk and Its Avoiding Strategy

金融风险不仅具有时变性,而且具有持续性.基于脉冲响应函数,给出了波动持续与协同持续的定义和判定定理,为讨论金融风险持续性提供判定依据;基于小波神经网络,将相关主题的讨论推广到非线性领域,给出非线性协同持续建模方法.最后,对中国股市进行了实证研究,讨论了金融风险持续性规避策略.

Financial risk does not only have the character of time varying, but also have persistence. This paper presents a new method for discussing persistence of financial risk based on volatility impulse response function. The new definition of volatility persistence and common persistence is established. Further more, the corresponding topics are introduced into the area of nonlinear common persistence through wavelet neural network. The empirical analysis has been made in Chinese stock markets in the end.