本文選題：跳躍隨機(jī)波動(dòng)模型　切入點(diǎn)：全國社�；�　出處：《財(cái)經(jīng)理論與實(shí)踐》2013年02期

【摘要】：對(duì)傳統(tǒng)的跳躍SV模型進(jìn)行擴(kuò)展,提出了波動(dòng)率方程中帶有協(xié)變量的跳躍SV模型,給出了模型參數(shù)估計(jì)的MCMC算法,并將擴(kuò)展的跳躍SV模型用于研究全國社保基金的波動(dòng)特征。研究發(fā)現(xiàn),相對(duì)于SV-N、SV-T、SV-M、杠桿SV-N和傳統(tǒng)的跳躍SV-N等模型,擴(kuò)展的跳躍SV模型建模效果最好;社�；鹗找媛示哂忻黠@的跳躍特征,并且跳躍的概率較高;基金重倉的對(duì)數(shù)ARCH項(xiàng)每增加1個(gè)百分點(diǎn),社保重倉的對(duì)數(shù)波動(dòng)率將增加0.5188個(gè)百分點(diǎn)。
[Abstract]:By extending the traditional jump SV model, a jump SV model with covariable in the volatility equation is proposed, and the MCMC algorithm for parameter estimation of the model is given, and the extended jump SV model is used to study the fluctuation characteristics of the national social security fund.It is found that compared with SV-NV SV-TV SV-M, leverage SV-N and traditional jump SV-N, the extended jump SV model has the best modeling effect, and the social security fund yield has obvious jumping characteristics, and the probability of jumping is higher.For every 1 percentage point increase in the logarithmic ARCH of the fund's heavy positions, the logarithmic volatility of the social security heavy positions will increase by 0.5188 percentage points.
【作者單位】： 江蘇大學(xué)財(cái)經(jīng)學(xué)院;東南大學(xué)經(jīng)管學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目(71071034) 教育部人文社會(huì)科學(xué)研究青年基金項(xiàng)目(12YJC630101) 江蘇大學(xué)高級(jí)技術(shù)人才科研啟動(dòng)基金(12JDG130)
【分類號(hào)】：F224;F842.6;F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 朱慧明;郝立亞;管皓云;曾昭法;;基于貝葉斯SV模型的通貨膨脹水平與不確定性關(guān)系研究[J];財(cái)經(jīng)理論與實(shí)踐;2011年02期

2 高延巡;胡日東;蘇h椒，

本文編號(hào)：1715671