本文選題：門限函數(shù)　切入點：不對稱斜率　出處：《系統(tǒng)管理學(xué)報》2016年03期 　論文類型：期刊論文

【摘要】：同時運用門限函數(shù)和加權(quán)方法在常用的CAViaR模型中的AS模型基礎(chǔ)上,提出了門限加權(quán)AS模型和門限加權(quán)I-AS模型,對亞洲股市各股指2000~2013年數(shù)據(jù)進行了分析,運用DQ檢驗、RQ值和LR統(tǒng)計量來比較各個模型的優(yōu)劣。研究結(jié)果表明,發(fā)展中國家金融市場受到滯后風(fēng)險的影響普遍大于發(fā)達國家金融市場受到滯后風(fēng)險的影響。綜合DQ檢驗、RQ值以及LR統(tǒng)計可知,本文提出的門限加權(quán)I-AS模型和門限加權(quán)AS模型比AS模型、加權(quán)AS模型以及門限AS模型要優(yōu)越,且門限加權(quán)I-AS模型比門限加權(quán)AS模型更優(yōu)越,特別是在5%水平時對發(fā)展中國家相對不成熟的金融市場更加具有明顯的優(yōu)勢。
[Abstract]:At the same time, the threshold weighted as model and threshold weighted I-AS model are put forward on the basis of the common as model of CAViaR model by using threshold function and weighting method. The data of Asian stock indexes from 2000 to 2013 are analyzed. The RQ and LR statistics are used to compare the advantages and disadvantages of each model. The impact of lag risk on financial markets in developing countries is generally greater than that on financial markets in developed countries. The threshold weighted I-AS model and threshold weighted as model are superior to as model, weighted as model and threshold as model, and threshold weighted I-AS model is superior to threshold weighted as model. Especially at 5% level, it has obvious advantage to the relatively immature financial markets of developing countries.
【作者單位】： 中南財經(jīng)政法大學(xué)金融學(xué)院;復(fù)旦大學(xué)經(jīng)濟學(xué)院;華中科技大學(xué)管理學(xué)院;
【基金】：國家自然科學(xué)基金資助項目(71171090)
【分類號】：F831.51;F224
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本文編號：1632897