本文關(guān)鍵詞：“已實(shí)現(xiàn)”跳躍檢驗(yàn)與跳躍風(fēng)險(xiǎn)測(cè)度　出處：《華中科技大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 已實(shí)現(xiàn)波動(dòng) 微結(jié)構(gòu)噪聲 跳檢驗(yàn) 系統(tǒng)性跳躍 異質(zhì)性跳躍 自激式跳躍 隔夜風(fēng)險(xiǎn)

【摘要】：進(jìn)入21世紀(jì)以來,由于信息技術(shù)的快速發(fā)展,獲取日內(nèi)交易數(shù)據(jù)變得越來越容易,利用高頻數(shù)據(jù)研究資產(chǎn)收益率的日內(nèi)特征成為金融領(lǐng)域的一個(gè)新的熱點(diǎn)話題。為了使資產(chǎn)收益率的建模既不違背市場(chǎng)無套利假定,又在數(shù)學(xué)上容易處理,一般假定收益率服從某個(gè)半鞅過程。學(xué)者們利用日內(nèi)高頻數(shù)據(jù),采用非參數(shù)方法估計(jì)潛在波動(dòng),研究發(fā)現(xiàn),已實(shí)現(xiàn)波動(dòng)與已實(shí)現(xiàn)極差波動(dòng)都是積分波動(dòng)的無偏、一致的估計(jì)。 在低頻環(huán)境中,市場(chǎng)微結(jié)構(gòu)噪聲可以忽略不計(jì),但在高頻環(huán)境下,由于買賣價(jià)差、非連續(xù)交易、最小報(bào)價(jià)單位等微結(jié)構(gòu)因素的影響,使得已實(shí)現(xiàn)波動(dòng)一致高估積分波動(dòng),因此,“降噪”方法的研究成為金融計(jì)量研究的熱點(diǎn)話題。除了微結(jié)構(gòu)噪聲外,資產(chǎn)價(jià)格跳躍也會(huì)導(dǎo)致已實(shí)現(xiàn)波動(dòng)一致高估積分波動(dòng)。因此,學(xué)者們構(gòu)造了許多已實(shí)現(xiàn)估計(jì)量,例如二冪次變差和拉普拉斯已實(shí)現(xiàn)波動(dòng),既對(duì)跳躍穩(wěn)健,又是積分波動(dòng)無偏、一致的估計(jì)。為了甄別資產(chǎn)價(jià)格中跳躍成分,學(xué)者們提出了許多跳檢驗(yàn)統(tǒng)計(jì)量,有些跳檢驗(yàn)對(duì)微結(jié)構(gòu)噪聲很穩(wěn)健,例如ABD檢驗(yàn)和LM檢驗(yàn),有些跳檢驗(yàn)的檢驗(yàn)功效很高,例如CPR檢驗(yàn)和PZ檢驗(yàn)。本文沿用CPR檢驗(yàn)的思想,利用已實(shí)現(xiàn)極差估計(jì),構(gòu)造新的跳檢驗(yàn),并啟發(fā)性地給出了它的大樣本性質(zhì)。 有些資產(chǎn)價(jià)格跳躍只受本公司或者本行業(yè)消息的影響(定義為異質(zhì)跳躍),而有些資產(chǎn)價(jià)格跳躍只受整個(gè)市場(chǎng)消息的影響(定義為系統(tǒng)性跳躍)。依據(jù)資產(chǎn)組合理論,只受本公司或者本行業(yè)消息影響的異質(zhì)跳躍風(fēng)險(xiǎn)可以被一個(gè)足夠大的資產(chǎn)組合所分散,而那些系統(tǒng)性跳躍風(fēng)險(xiǎn)則是不可分散的。如果資產(chǎn)價(jià)格跳躍存在不可分散的成分,那么現(xiàn)有的資產(chǎn)定價(jià)與風(fēng)險(xiǎn)管理理論將受到巨大挑戰(zhàn)。A股市場(chǎng)存在系統(tǒng)性跳躍嗎?這是一個(gè)值得研究的問題。本文分別利用指數(shù)-個(gè)股法和mcp方法檢驗(yàn)A股市場(chǎng)的系統(tǒng)性跳躍,研究結(jié)果表明,A股市場(chǎng)的系統(tǒng)性跳躍是顯著存在的,且兩種檢驗(yàn)方法的檢驗(yàn)結(jié)果差異很小。本文通過理論推導(dǎo)證明了指數(shù)-個(gè)股法的嚴(yán)謹(jǐn)性,通過引入閾值改進(jìn)了等權(quán)二冪次變差的小樣本性質(zhì)。 本文將系統(tǒng)性跳躍和異質(zhì)跳躍視為極端事件,從極值理論的視角探討股票收益率分布的尾部特征,利用TOD方法消除高頻數(shù)據(jù)的日內(nèi)效應(yīng),運(yùn)用指數(shù)-個(gè)股法分解系統(tǒng)性跳躍和異質(zhì)跳躍,并采用POT方法分別估計(jì)它們的左尾和右尾參數(shù)。實(shí)證研究表明,A股市場(chǎng)日內(nèi)效應(yīng)具有明顯的“L”型特征,每支股票的系統(tǒng)性跳躍與異質(zhì)跳躍都是顯著存在的,且兩類跳躍都具有非常明顯的厚尾特征,所有股票的右尾跳躍次數(shù)和貢獻(xiàn)都大于左尾。這表明,頻繁出現(xiàn)的資產(chǎn)價(jià)格跳躍及其尾部特征是導(dǎo)致股票收益率非正態(tài)分布的一個(gè)重要原因。為了從系統(tǒng)性跳躍風(fēng)險(xiǎn)這一微觀層面探討貝塔系數(shù)的時(shí)變特征,本文利用“已實(shí)現(xiàn)”方法分解連續(xù)性貝塔和跳躍性貝塔,并分別檢驗(yàn)連續(xù)性貝塔和跳躍性貝塔的穩(wěn)定性。研究結(jié)果表明,短期連續(xù)性貝塔穩(wěn)定性較差,中期和長(zhǎng)期連續(xù)性貝塔比較穩(wěn)定,而短期、中期和長(zhǎng)期跳躍性貝塔的穩(wěn)定性都很差。因此,短期貝塔系數(shù)的不穩(wěn)定主要來自于連續(xù)性貝塔,而中期和長(zhǎng)期貝塔系數(shù)的不穩(wěn)定則來自于跳躍性貝塔。 資產(chǎn)價(jià)格跳躍不僅是系統(tǒng)性的,還可能是自激勵(lì)的。本文在新的]3AR-CJ-M模型框架下研究了滬深300指數(shù)隔夜風(fēng)險(xiǎn)的動(dòng)態(tài)特征、影響因素以及可預(yù)測(cè)性,利用BN-S方法將日內(nèi)波動(dòng)分解為連續(xù)性波動(dòng)和跳躍性波動(dòng),并運(yùn)用ACH模型估計(jì)發(fā)生跳躍的意外性程度,進(jìn)而采用最小二乘和分位數(shù)回歸方法估計(jì)日內(nèi)波動(dòng)率指標(biāo)和跳躍的意外性程度對(duì)隔夜風(fēng)險(xiǎn)的影響。研究結(jié)果表明,日內(nèi)連續(xù)性波動(dòng)、跳躍性波動(dòng)和隔夜風(fēng)險(xiǎn)的滯后項(xiàng)都會(huì)顯著地影響隔夜風(fēng)險(xiǎn),且存在不對(duì)稱效應(yīng)；日內(nèi)跳躍對(duì)大的隔夜風(fēng)險(xiǎn)的影響非常顯著,且可以利用HAR-CJ-M模型很好地預(yù)測(cè)大的隔夜風(fēng)險(xiǎn)。這表明,日內(nèi)跳躍會(huì)向前傳導(dǎo)至隔夜跳躍,跳躍的自激式影響是顯著存在的。
[Abstract]:Since twenty-first Century, due to the rapid development of information technology, access to intraday data becomes more and more easy, with characteristics of high frequency data on asset return days has become a new hot topic in the financial field. In order to make the model of asset returns without violating the market no arbitrage assumption, and easy to handle in Mathematics in general, it is assumed that yield obey a semi martingale process. Scholars using high-frequency intraday data, study on potential volatility estimation using non parametric methods, realized volatility and realized range volatility fluctuations are integral unbiased, consistent estimates.
In the low frequency environment, market microstructure noise is negligible, but in high frequency environment, due to the sale of price, non continuous trading, the effects of tick size and other micro structure factors, the realized volatility consistent overestimates therefore, "integral fluctuation, noise reduction method research has become a hot topic of research. In addition to financial measurement the micro structure of noise, asset price jumps will lead to overestimate the realized volatility consistent integral fluctuation. Therefore, scholars have constructed many realized estimators, such as the two power variation and Laplasse realized volatility, which is robust to jump, integral fluctuation unbiased, consistent estimates. In order to jump component screening assets the price, scholars have put forward many jump test statistic, some jump test on the microstructure noise is very robust, for example, ABD test and LM test, some jump test the effect of the test is very high, such as CPR test and PZ In this paper, we use the idea of CPR test to construct a new jump test by using the estimated maximum difference, and illuminate its large sample properties.
Some asset prices jump effect only by the company or the industry news (defined as heterogeneity, and some asset price jumps) effects of jump only by the whole market news (defined as the systematic jump). On the basis of portfolio theory, the heterogeneity only by this company or the industry news jump risk can be a sufficient the portfolio is dispersed, and the systematic jump risk is undiversifiable. If the asset price jumps there cannot be dispersed components, then the existing asset pricing and risk management theory will be a huge challenge in.A stock market there is a systematic jump? This is a problem worthy of study in this paper. The system of stock index - jump method and MCP method to test the A stock market, the results show that the system of A stock market jump is significant, and the two kinds of test methods test results difference It is very small. This paper proves the rigor of the exponential - share method by theoretical deduction and improves the small sample property of the equal weight two power difference by introducing a threshold.
The system of jumping and jumping as heterogeneous extreme events, explore the characteristics of tail stock returns distribution from the perspective of extreme value theory, the elimination of the high frequency data of intra day effect by using TOD method, decomposition system jump and heterogeneous jump using index - a stock method, and uses the POT method of their left and right tail tail parameter estimated respectively. The empirical research shows that, A stock market intraday effect has obvious characteristics of "L", each stock systematic jump and heterogeneous jumps are significant, and have obvious fat tail characteristics of two kinds of jump, all stock right tail jumping times and contribution are greater than the left tail.. this suggests that the frequent asset price jumps and the tail is the cause of stock returns characteristics of non normal distribution is an important reason for systematic jump risk. From the micro level of beta time varyingcharacteristics, The realized method of decomposition of continuity and jumping beta beta, were tested the continuity and stability of beta beta jump. The results show that the short-term continuous beta stability is poor, medium and long term continuous beta is relatively stable, while the short-term, medium-term and long-term stability of the beta jump are very poor. Therefore, short-term beta instability mainly from the continuity of the beta, while the medium and long term beta instability from jumping beta.
Asset price jump is not only systematic, but also may be self excitation. The dynamic characteristics of the]3AR-CJ-M model in the framework of new research on the Shanghai and Shenzhen 300 index overnight risk, influence factors and predictability, using the BN-S method to intraday volatility into continuous volatility and jump volatility, and the use of ACH model the estimated jump accident, and then using the least squares and quantile regression method to estimate the impact of intraday volatility index and the degree of jumping accident risk overnight. The results showed that days of continuous volatility and jump volatility risk and overnight lag will significantly affect overnight risk, and asymmetric effect; days jump effect on overnight risk is very significant, and the HAR-CJ-M model can be used to well predict the overnight risk. This suggests that the days ahead will transfer to the historic jump The night jump, the self excited effect of jumping is significant.

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.91

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳銀忠;張榮;;基于修正的SS模型的貝塔系數(shù)均值回歸研究[J];產(chǎn)業(yè)與科技論壇;2008年11期

2 馬喜德;鄭振龍;;貝塔系數(shù)的均值回歸過程[J];工業(yè)技術(shù)經(jīng)濟(jì);2006年01期

3 樊麗娟;周靜;;中國(guó)股票市場(chǎng)貝塔系數(shù)穩(wěn)定性研究[J];北方經(jīng)貿(mào);2007年12期

4 韋念幸;;酒店旅游行業(yè)股票長(zhǎng)期貝塔系數(shù)的測(cè)算與預(yù)測(cè)[J];金融經(jīng)濟(jì);2009年18期

5 張菊朋;;項(xiàng)目投資決策中凈現(xiàn)值法的運(yùn)用[J];財(cái)會(huì)月刊;2007年24期

6 俞啟委;劉覲洋;;論市場(chǎng)組合對(duì)貝塔系數(shù)及CAPM的影響[J];中國(guó)商貿(mào);2009年13期

7 雷利華;黃宗遠(yuǎn);;上證煤炭石油板塊系統(tǒng)性風(fēng)險(xiǎn)的實(shí)證研究[J];廣西財(cái)經(jīng)學(xué)院學(xué)報(bào);2010年01期

8 胡新輝;復(fù)雜資本市場(chǎng)風(fēng)險(xiǎn)指標(biāo)衡量比較研究[J];市場(chǎng)周刊.研究版;2005年04期

9 高翔;韓曉斐;;CAPM模型研究現(xiàn)狀及其實(shí)證檢驗(yàn)分析[J];現(xiàn)代商貿(mào)工業(yè);2009年24期

10 王靜;王來生;;新藥供應(yīng)市場(chǎng)風(fēng)險(xiǎn)及股票回報(bào)實(shí)證分析[J];中國(guó)市場(chǎng);2007年36期

相關(guān)會(huì)議論文 前10條

1 林鴻燦;劉通;張培園;;保險(xiǎn)機(jī)構(gòu)系統(tǒng)性風(fēng)險(xiǎn)溢出效應(yīng)的實(shí)證研究——基于AR-GARCH-CoVaR模型[A];深化改革，，穩(wěn)中求進(jìn)：保險(xiǎn)與社會(huì)保障的視角——北大賽瑟（CCISSR）論壇文集·2012[C];2012年

2 于紅健;;政府投資工程項(xiàng)目的一個(gè)系統(tǒng)性風(fēng)險(xiǎn)——欠缺施工圖設(shè)計(jì)和初步設(shè)計(jì)及概算批復(fù)審查環(huán)節(jié)[A];貴州工程項(xiàng)目管理論文集（2010）[C];2010年

3 ;后金融危機(jī)時(shí)期我國(guó)金融安全若干問題研究[A];2009—2010中國(guó)生產(chǎn)力發(fā)展研究報(bào)告[C];2010年

4 付景牛;;淺析房地產(chǎn)金融風(fēng)險(xiǎn)[A];2007環(huán)渤海區(qū)域金融合作發(fā)展研討會(huì)論文集[C];2007年

5 孫飛;蒲實(shí);;中國(guó)地產(chǎn)金融發(fā)展的路徑優(yōu)化與大趨勢(shì):多元化與國(guó)際化[A];中國(guó)制度經(jīng)濟(jì)學(xué)年會(huì)論文集[C];2006年

6 孫飛;蒲實(shí);;中國(guó)地產(chǎn)金融的科學(xué)發(fā)展觀:以信托為主線的多元化與國(guó)際化[A];中國(guó)制度經(jīng)濟(jì)學(xué)年會(huì)論文集[C];2006年

7 錢振偉;丁江萍;;創(chuàng)新我國(guó)企業(yè)年金監(jiān)管制度研究——基于全球金融危機(jī)的警示[A];中國(guó)保險(xiǎn)學(xué)會(huì)首屆學(xué)術(shù)年會(huì)論文集[C];2009年

8 李明華;;建設(shè)遍及中國(guó)廣大農(nóng)村和小城鎮(zhèn)的社區(qū)/開放大學(xué)——中國(guó)高等教育發(fā)展戰(zhàn)略新思路[A];生命、知識(shí)與文明：上海市社會(huì)科學(xué)界第七屆學(xué)術(shù)年會(huì)文集（2009年度）哲學(xué)·歷史·文學(xué)學(xué)科卷[C];2009年

9 馬宇;于鳳芹;喻曉平;劉甲朋;江秀輝;隋鵬飛;;經(jīng)濟(jì)全球化條件下的金融體系風(fēng)險(xiǎn)分擔(dān)理論研究[A];決策與管理研究（2007-2008）——山東省軟科學(xué)計(jì)劃優(yōu)秀成果匯編（第七冊(cè)·上）[C];2009年

10 宗良;陳靜;;全球系統(tǒng)重要性銀行監(jiān)管變革與展望[A];國(guó)際經(jīng)濟(jì)分析與展望（2011-2012）[C];2012年

相關(guān)重要報(bào)紙文章 前10條

1 鐘寧瑤;震蕩行情中尋找基金避風(fēng)港[N];上海證券報(bào);2007年

2 劉駿民 范小云;經(jīng)濟(jì)虛擬化與系統(tǒng)性風(fēng)險(xiǎn)[N];中國(guó)經(jīng)濟(jì)時(shí)報(bào);2003年

3 劉瑛;基金會(huì)戰(zhàn)系統(tǒng)性風(fēng)險(xiǎn)初勝[N];第一財(cái)經(jīng)日?qǐng)?bào);2007年

4 銀泰證券;短期大幅向下空間不大[N];中國(guó)證券報(bào);2008年

5 叢榕;指數(shù)單邊下跌 行業(yè)均報(bào)綠盤[N];中國(guó)證券報(bào);2008年

6 陸小斌;應(yīng)警惕股市系統(tǒng)性風(fēng)險(xiǎn)[N];金融時(shí)報(bào);2006年

7 中信建投期貨 楊軍;政府收儲(chǔ)推動(dòng)天膠價(jià)格持續(xù)反彈[N];證券日?qǐng)?bào);2009年

8 高偉;多渠道分散和降低農(nóng)村金融系統(tǒng)性風(fēng)險(xiǎn)[N];東方城鄉(xiāng)報(bào);2007年

9 特約撰稿 鄭e

本文編號(hào)：1425910