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

稳定分布及其在GARCH中的运用 被引量：2

Stable distribution and its application in GARCH
下载PDF
导出
摘要 用稳定分布的特征函数和Fourier变换得到稳定分布的参数估计和概率密度。应用稳定分布对上证交易所的综合指数进行分布拟合,并建立了GARCH-稳定模型,探讨稳定分布对GARCH模型的影响。 The estimated parameter and probability density of stable distribution are obtained by its character function and the Fourier transform. At the same time the stable distribution is applied to fit the Shanghai Stocks Exchange Composite index and the model of GARCH-stable is built up which is supposed to obey the stable distribution in its conditional equation. It is observed that the stable distribution is more suitable to describe the distribution of stocks market in China than the normal distribution and thus the capability to forecast the volatility is advanced.
作者 易艳红 周石鹏
机构地区 上海理工大学管理学院
出处 《上海理工大学学报》 CAS 北大核心 2003年第3期300-303,共4页 Journal of University of Shanghai For Science and Technology
关键词 稳定分布 分布拟合 GARCH-正态模型 GARCH-稳定模型 stable distribution distribution fitting GARCH-normal model GARCH-stable model
分类号 F224.0 [经济管理—国民经济] F830.9 [经济管理—金融学]
  • 相关文献

参考文献4

  • 1Zolotarlev A. One-Dimensional Stable Distributions[R]. Providence RI: American Mathematical Society,1986.
  • 2Khindanova I, Rachev S, Schwartz S. Stable modeling of value at risk[J]. Mathematic and Computer Modeling, 2001, 34(10/11): 1223-1259.
  • 3Mittnik S, Doganoglu T, Chenyao D. Computing the probability density function of the stable paretian distribution[J]. Mathematic and Computer Modeling,1999, 29(10/12): 235-240.
  • 4Liu Shimin, Wadebrorsen B. Maximum likelihood estimation of a garch-stable model[J]. Journal of Applied Econometrics, 1995, 10(3): 273-285.

同被引文献22

  • 1沐年国.GARCH-Jump模型对跳行为捕捉能力的讨论[J].上海理工大学学报,2007,29(1):32-36. 被引量：3
  • 2Lux.The stable paretian hypothesis and the frequency of large returns:an examination of major German stocks,1996(06).
  • 3Mandelbrot.The variation of certain speculative prices,1963.
  • 4Bollerslev T. Generalized autoregressive conditional heteroskedasticity[J]. Journal of Econometrics, 1986, 31(3) 307 - 327.
  • 5Engle R F. Autoregressive conditional heteroskedasficity with estimates of the variance of United Kingdom inflafion[J]. Econometrica, 1982,50 (4) .. 987 - 1007.
  • 6Bollerslev T. A conditionally heteroskedasticity time series model for speculative prices and rates of return [J]. Review of Economics & Statistics, 1987, 69 (3) : 542 - 547.
  • 7Nelson D B. Conditional heteroskedasticity in assetreturns., a new approach [J]. Econometrica, 1991, 59 (2) 347 - 370.
  • 8Lambert P,Laurent S. Modeling skewness dynamics in series of financial data using skewed location-scale distributions[R]. Belguim.. Universite Catholique de Louvain and Universite de Liege,2001.
  • 9Kon S J. Models of stock returns: a comparison[J]. Journal of Finance, 1984,39 (1) : 147 - 165.
  • 10Glosten L R, Jagannathan R, Runkle D E. On the relation between the expected value and the volatility of the nominal excess return on stocks[J]. Journal of Finance, 1993,48(5) 1779 - 1801.

引证文献2

上海理工大学学报
2003年 第3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