摘要
金融风险测度的理论和方法因对市场的本质认识不同而不同,也就是因市场假说的不同而不同。市场假说大致可分为两类:有效市场和分形市场。利用风险价值法和重标极差法对中国股票市场风险进行的实证研究表明,目前对我国股票市场进行风险测度时,有效市场假说与分形市场假说缺一不可。
Financial risk measurement theory and methods are different from observation and understanding of financial markets. They are different from different market hypothesis. Now, market hypothesis can generally be divided into two schools： the efficient market and the fractal market. The empirical study was carried out by using risk value method and rescaled range analysis. The result is that the efficient market and the fractal market aredispensable.
出处
《河南工程学院学报（社会科学版）》
2010年第2期49-54,共6页
Journal of Henan University of Engineering(Social Science Edition)
关键词
有效市场
分形市场
VaR重标极差
efficient market
fractal market
VaR
rescaled range analysis
