發(fā)布時(shí)間：2019-02-18 22:16

【摘要】：股指收益率分布一直是金融研究中的一個(gè)重要問題。研究股指收益率分布,不僅有助于認(rèn)識(shí)股票市場的內(nèi)在運(yùn)行規(guī)律,而且還可以幫助股指期貨投資者進(jìn)行正確的風(fēng)險(xiǎn)度量,以便進(jìn)行資產(chǎn)定價(jià)與資產(chǎn)組合選擇。提出能夠更好地?cái)M合金融資產(chǎn)收益率的分布,并對(duì)其進(jìn)行統(tǒng)計(jì)分析已成為金融研究的新的重要課題之一。本文首先對(duì)非對(duì)稱兩參數(shù)Laplace分布的統(tǒng)計(jì)分析進(jìn)行了研究。運(yùn)用矩估計(jì),極大似然等方法進(jìn)行了參數(shù)估計(jì),證明了極大似然估計(jì)法與矩估計(jì)2的結(jié)果實(shí)際是一致的。并用Monte-Carlo模擬綜合比較了幾種估計(jì)方法,得出矩估計(jì)2比矩估計(jì)1精度更好的結(jié)論。其次,本文研究了非對(duì)稱三參數(shù)Laplace分布的統(tǒng)計(jì)分析及參數(shù)估計(jì)。從現(xiàn)有文獻(xiàn)來看,關(guān)于非對(duì)稱三參數(shù)Laplace分布的參數(shù)估計(jì)都是通過極大似然的方法獲得,但其極大似然估計(jì)的存在性和唯一性理論證明并不完善。本文給出一種較為簡單的處理方法。并用模擬綜合比較了幾種參數(shù)估計(jì)方法。接著,本文指出了周靜怡[23]一文中參數(shù)估計(jì)值的錯(cuò)誤并給出了修正后的參數(shù)估計(jì)值,進(jìn)行了擬合優(yōu)度檢驗(yàn)。同時(shí)運(yùn)用上文中提出的參數(shù)估計(jì)方法,對(duì)文章中的數(shù)據(jù)進(jìn)行了參數(shù)估計(jì),擬合優(yōu)度檢驗(yàn)后的結(jié)果表明非對(duì)稱三參數(shù)Laplace分布能夠較好的描述樣本數(shù)據(jù)尖峰,厚尾,偏態(tài)的特征。最后,本文對(duì)滬,深兩市股指日,周收益率進(jìn)行了實(shí)證研究。研究結(jié)果表明,非對(duì)稱三參數(shù)Laplace分布比正態(tài)分布能夠更好的擬合滬,深兩市股指日,周收益率。
[Abstract]:The distribution of stock index yield is always an important problem in financial research. The study of the distribution of stock index yield is not only helpful to understand the inherent law of stock market, but also helps investors to measure the risk correctly, so as to make asset pricing and portfolio selection. It is proposed that the distribution of the return rate of financial assets can be fitted better and the statistical analysis of it has become one of the new and important subjects in financial research. In this paper, the statistical analysis of asymmetric two-parameter Laplace distribution is studied. The method of moment estimation, maximum likelihood and so on is used to estimate the parameters, and it is proved that the results of maximum likelihood estimation and moment estimation are in good agreement with each other. Several estimation methods are synthetically compared with Monte-Carlo simulation. It is concluded that the moment estimation 2 is more accurate than the moment estimation 1. Secondly, this paper studies the statistical analysis and parameter estimation of asymmetric three parameter Laplace distribution. According to the existing literatures, the parameter estimation of asymmetric three-parameter Laplace distribution is obtained by the method of maximum likelihood, but the existence and uniqueness theory of maximum likelihood estimation is not perfect. In this paper, a relatively simple treatment method is given. Several parameter estimation methods are compared by simulation. Then, this paper points out the error of parameter estimation in Zhou Jingyi [23], gives the revised parameter estimate, and tests the goodness of fit. At the same time, the parameter estimation method mentioned above is used to estimate the parameters of the data in this paper. The results of goodness of fit test show that the asymmetric three-parameter Laplace distribution can well describe the peak, thick tail and skewness characteristics of the sample data. Finally, this paper makes an empirical study on the daily and weekly returns of stock indexes in Shanghai and Shenzhen stock markets. The results show that the asymmetric three-parameter Laplace distribution can better fit the daily and weekly returns of Shanghai and Shenzhen stock indexes than the normal distribution.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：O212.1

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 孫春花;;偏t分布與非對(duì)稱Laplace分布對(duì)我國股市收益率分布擬合研究[J];現(xiàn)代計(jì)算機(jī)(專業(yè)版);2011年26期

2 鐘法林;陳榮達(dá);;非對(duì)稱Laplace分布下外匯收益率的實(shí)證分析[J];吉林工商學(xué)院學(xué)報(bào);2011年04期

3 陳曄;晏小兵;王躍恒;;股票投資組合的實(shí)證研究[J];數(shù)學(xué)理論與應(yīng)用;2010年01期

4 王建華,王玉玲,柯開明;中國股票收益率的穩(wěn)定分布擬合與檢驗(yàn)[J];武漢理工大學(xué)學(xué)報(bào);2003年10期

5 王建華,柯開明,王玉玲;非對(duì)稱拉普拉斯分布在股票收益率中的應(yīng)用[J];武漢理工大學(xué)學(xué)報(bào);2004年03期

6 蔣春福;李善民;梁四安;;中國股市收益率分布特征的實(shí)證研究[J];數(shù)理統(tǒng)計(jì)與管理;2007年04期

7 劉建元;劉瓊蓀;;基于非對(duì)稱Laplace分布研究VaR[J];統(tǒng)計(jì)與決策;2007年18期

8 趙秀娟;張洪水;黎建強(qiáng);汪壽陽;;一個(gè)基于非對(duì)稱Laplace分布和DEA的證券投資基金評(píng)價(jià)方法[J];系統(tǒng)工程理論與實(shí)踐;2007年10期

9 曾五一;劉飛;;中國股指收益率的非對(duì)稱拉普拉斯分布實(shí)證檢驗(yàn)[J];統(tǒng)計(jì)與信息論壇;2012年12期

10 張幗奮;丁寧;;一種非對(duì)稱拉普拉斯分布[J];浙江大學(xué)學(xué)報(bào)(理學(xué)版);2014年06期

相關(guān)碩士學(xué)位論文 前2條

1 周靜怡;基于非對(duì)稱Laplace分布的VaR在投資組合中的應(yīng)用研究[D];武漢科技大學(xué);2013年

2 韓軍朝;非對(duì)稱Laplace分布下的VAR研究[D];重慶大學(xué);2009年

，

本文編號(hào)：2426267