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dc.contributor.advisor陈建宝
dc.contributor.author韩钧
dc.date.accessioned2016-02-14T03:27:39Z
dc.date.available2016-02-14T03:27:39Z
dc.date.issued2009-09-17 10:14:19.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/38944
dc.description.abstract在资产定价研究领域中,除了众所周知的Fama-French三因素,研究者一直不断的寻找着其他变量,来加强资本资产定价模型的实证解释力。近期有学者开始关注个股间相关性和个股的特质波动性是否对股票截面收益率有影响。但目前很少有人将这两个因素纳入同一个定价模型进行讨论。考虑到股市收益率的二阶距往往具有时变性,如何准确刻画这两个因素,也是一个有待讨论的问题。 本文采用上海A股市场的月收益率数据,率先使用DCC-MVGARCH模型,刻画了时变的个股间预期条件相关性和个股的预期条件特质波动率。同时,考虑到特质波动率和相关性这两个因素和一些影响市场收益率的因素相关,不加任何处理就引入定价模型,可能导致自变...
dc.description.abstractIn the field of CAPM, except the well-known three factors in Fama-French framework, researchers are always searching other systematic factors to reinforce the explaining ability of CAPM theory. Recently, some scholars began to pay attention to the correlation risk between individual stocks and the idiosyncratic volatilities of individual stocks. However, few researchers examined both two factors’ ...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=20142&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=21319
dc.subjectDCC-MV GARCH模型
dc.subject相关性风险
dc.subject特质波动性
dc.subjectDCC-MV GARCH
dc.subjectCorrelation risk
dc.subjectIdiosyncratic Volatility
dc.titleDCC架构下相关性和特质波动性的风险溢价
dc.title.alternativeStudy on Risk Premiums of Correlation and Idiosyncratic Volatility using DCC
dc.typethesis
dc.date.replied2009-05-23
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院计划统计系_统计学
dc.description.note学号:15420061150835


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