期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

基于不同测度指标的随机波动性模型及其应用研究

Stochastic volatility model based on different indices and its application to Chinese stock market volatility
下载PDF
导出
摘要 引入了基于日内价格幅度与回报两个测度指标的随机波动性模型.利用中国股市数据进行的实证结果表明,与单测度指标的随机波动性模型相比,基于两个测度指标的随机波动性模型能更好地描述股票市场波动性和市场波动风险. A stochastic volatility model based on two indices, i.e., daily returns and intra-daily high-low price range is proposed. Empirical results on Chinese stock market indicate that stochastic volatility model based on the two above indices outperforms those based on one index in capturing volatility character and market risk.
作者 吴晓霖 孙绍荣 蒋祥林
机构地区 上海理工大学管理学院 复旦大学金融研究院
出处 《上海理工大学学报》 EI CAS 北大核心 2007年第5期495-501,共7页 Journal of University of Shanghai For Science and Technology
基金 上海市重点学科建设资助项目(T0502)
关键词 波动性建模 日内价格幅度 日间回报 随机波动性模型 风险价值 volatility modeling intra-daily high-doze price range inter-daily returns stochastic volatility model value at risk
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献11

  • 1ENGLE R,GALLO G.A multiple indicators model for volatility using intra-daily data[R].NBER Working Paper 10117,http://www.NBER.org,2003.
  • 2ANDERSEN T G,BOLLERSLEV T,DIEBOL F X.The distribution of realized stock return volatility[J].Journal of Financial Econonics,2001,61(1):43-76.
  • 3ALIZADEH S,BRANDT M W,DIEBOLD F X.Range based estimation of stochastic volatility models[J].Journal of Finance,2002,57(3):1 047-1 091.
  • 4CHOU R Y.Forecasting financial volatilities with extreme values:The conditional autoregressive range (CARR) model[R].Adademia Sinica Working Paper,2001.
  • 5BRANDM W,CHRISTOFER S J.Volatility forecasting with range-based EGARCH models[R].Wharton School University of Pennsylvania,2002.
  • 6PARKINSON M.The extreme value method for estimating the variance of the rate of return[J].Journal of Business,1980,53(1):61-66.
  • 7CELSO B.Relative efciency of return-based and rangebased volatility estimators[R].Johns Hopkins University,2004.
  • 8王春峰,蒋祥林,李刚.基于随机波动性模型的中国股市波动性估计[J].管理科学学报,2003,6(4):63-72. 被引量：38
  • 9JACQUIER E,POLSON G,ROSSI E.Bayesian analysis of stochastic volatility model with fat Heavy-tailed Distributions[R].Working paper.www2.bc.edu/jacquier,2001.
  • 10JACQUIER E,POLSON G,ROSSI E.Bayesian analysis of stochastic volatility models[J].Journal of Business & Economic Statistics,1994,12(4):371-390.

二级参考文献21

  • 1Engle R F. Autoregessive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation[J]. Econometrica, 1982, .50:987--1007.
  • 2Bollerslev T. Generalized autogressive conditional hetemscedasticity[J]. Journal of Econometrics, 1986, 31:307--327.
  • 3Clark P. A subordinated stochastic process model with finite variance for speculative process[J]. Econometrica, 1973, 41 : 135--155.
  • 4Epps T W, Epps M L. The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-ofdistribution hypochesis[J]. Econometrica, 1976, 44:305--321.
  • 5Danielsson J. Estimation of dynamic stochastic volatility model for asset price determination by simulated maximum likelihood[D].Durham: Duke University, 1991.
  • 6Taylor S J. Modeling stochastic volatility[J]. Mathematical Finance, 1994, 4(2) : 183--204.
  • 7Danielsson J. Stochastic volatility in asset prices estimation with simulated maximum likelihood[J]. Journal of Econometrics, 1994,64 : 375 --400.
  • 8Kim S. Shephard N. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models[ R]. Nuflield College, London:Oxford University, 1994.
  • 9Shephard N. Statistical Aspects of ARCH and Stochastic Volatility[R]. Nuffield College, London: Oxford University, 1995.
  • 10Bollerslev T. A conditional heteroskedastic time series model for speculative prices and rates of return[J]. The Review of Economics and Statistics, 1987, 59:542--547.

共引文献37

上海理工大学学报
2007年 第5期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部