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dc.contributor.advisor洪永淼
dc.contributor.advisor陈国进
dc.contributor.author王占海
dc.date.accessioned2016-02-14T08:08:48Z
dc.date.available2016-02-14T08:08:48Z
dc.date.issued2011-12-06 11:28:27.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/49469
dc.description.abstract股票价格的具体波动特征在资产定价、风险管理以及投资组合等金融理论中都是一个极为重要的考虑因素。区别于收益率的可观测性,波动率%具有不可观测的性质,如何准确有效的估计波动率成为学界和业界共同关注的问题。在大部分时间内,股票价格的波动较为平稳,体现出连续性的特征,但在某些时点会出现大幅度的突变行为,即跳跃,体现出非连续性的特征。本文利用多种方法考察我国股票市场的波动特征后,利用具有无限变差的时变Lévy过程建立统一的模型刻画市场总体波动中的各种成分。所建立的模型考虑到了收益率分布的尖峰厚尾、波动聚集、杠杆效应以及多种跳跃等诸多特征,并运用贝叶斯方法对模型进行了估计。 本文首先进行了一个简要的文献...
dc.description.abstractVolatility is one key important factor in financial theories, especially for asset pricing, risk management and portfolio. Since volatility is unobservable, how to measure it more accurately is concerned by scholars and practitioners. Volatility is stable most of the time, but has big jumps sometimes. In this paper, I want to discuss how to construct models which can capture all different types of...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=31227&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=32802
dc.subject跳跃行为
dc.subjectLévy过程
dc.subjectMCMC估计
dc.subjectJump behavior
dc.subjectLévy process
dc.subjectMCMC etimation
dc.title我国股票市场跳跃行为分析
dc.title.alternativeAnalysis of Jump Behavior in China's Stock Market
dc.typethesis
dc.date.replied2011-05-21
dc.description.note学位:经济学博士
dc.description.note院系专业:王亚南经济研究院_西方经济学
dc.description.note学号:27720070153895


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