本文選題：高頻協(xié)方差陣 + 動(dòng)態(tài)預(yù)測(cè)模型　； 參考：《系統(tǒng)工程》2015年08期

【摘要】：圍繞復(fù)雜的估計(jì)方法是否有助于提高協(xié)方差陣的預(yù)測(cè)效果和組合收益進(jìn)行研究。在預(yù)測(cè)模型一定的情況下,從統(tǒng)計(jì)精度和經(jīng)濟(jì)價(jià)值的角度對(duì)不同協(xié)方差陣估計(jì)量的預(yù)測(cè)效果進(jìn)行了比較;同時(shí)在協(xié)方差陣一定的情況下,也對(duì)不同的預(yù)測(cè)模型進(jìn)行了比較。研究發(fā)現(xiàn)同時(shí)考慮了噪聲和跳躍影響的雙頻已實(shí)現(xiàn)協(xié)方差陣(RTSCOV)在所有比較標(biāo)準(zhǔn)下均具有最好的表現(xiàn),并且較低頻協(xié)方差陣而言,高頻協(xié)方差陣應(yīng)用在投資組合中會(huì)獲得更高的收益。
[Abstract]:Whether the complex estimation method helps to improve the prediction effect and the combination income of the covariance matrix. In the case of the prediction model, the prediction effect of the estimators of the covariance matrix is compared from the point of view of the statistical accuracy and the economic value, and the different prediction is also given under the case of the covariance matrix. The model is compared. It is found that the dual frequency realized covariance matrix (RTSCOV), which considers both the noise and the jump effects, has the best performance under all the comparative criteria, and the high frequency covariance matrix will gain a higher profit in the investment portfolio than the low frequency covariance matrix.
【作者單位】： 貴州財(cái)經(jīng)大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院;
【基金】：2014年貴州省教育廳高校人文社科研究項(xiàng)目(14ZC307) 2014年貴州省哲學(xué)社會(huì)科學(xué)規(guī)劃項(xiàng)目(14GZYB17) 貴州省科技基金資助項(xiàng)目(黔科合J字【2009】2062號(hào))
【分類號(hào)】：F830.59;F224
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本文編號(hào)：2096691