摘要
提出了一种基于已实现波动率的L^(p)分位数回归模型,这是一种新的金融风险模型.基于已实现波动率的L^(p)分位数回归模型将已实现波动率与L^(p)分位数回归结合起来,并且将L^(p)分位数加入模型的度量等式中.该模型是囊括基于已实现波动率的分位数回归模型和基于已实现波动率的Expectile回归模型的更为一般的模型.通过非对称幂指数分布(AExpPow)导出模型的对数似然函数,并且通过模拟证实了所提出的对数似然函数的正确性.最后通过实证研究证实基于已实现波动率的L^(p)分位数回归模型的有效性,得出如下结论:不同的幂指数p适用于不同的数据,不同的时间频率适用于不同的已实现波动率,而不是时间频率越高越好.
A new financial risk model named L^(p)quantile regression with a realized measure(realized L^(p)quantile)was proposed.The realized measure and L^(p)quantiles were combined and L^(p)quantile were added to the measurement equation.The realized L^(p)quantile model is a generic model that includes realized quantile model and expectile model.An asymmetric exponential power distribution(AExpPow)was proposed to derive the formula of log-likelihood.And a simulation was conducted to justify the validity of the log-likelihood.Finally an empirical study was conducted to justify the validity of the realized L^(p)quantile.And some conclusions were drawn as follows:differfent power indices suit different data and different time-frequencies suit different realized measures,and higher frequency is not always better.
作者
汤李
陈昱
Tang Li;Chen Yu(Department of Statistics and Finance,School of Management,University of Science and Technology of China,Hefei 230026,China)
基金
the National Key Research and Development Plan(2016YFC0800100)
the NNSF of China(71771203).
