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基于标准t(d)分布和Cornish-Fisher扩展的VaR度量研究

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摘要 本文分别运用标准t(d)分布和Cornish-Fisher扩展的VaR模型,对中国银行类股票的期望收益率与风险进行实证比较研究,具体计算出VaR的时间序列,并论证了应用该时间序列来评估风险大小的方法。对于不同的风险爱好者,在估算股票收益风险时应选择不同的分布才能更准确的估算出风险。
作者 李红丽
出处 《广西金融研究》 2008年第11期37-39,共3页 JOurnal of Guangxi Financial Research
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