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dc.contributor.advisor李木易
dc.contributor.author白钧仁
dc.date.accessioned2016-02-23T01:29:07Z
dc.date.available2016-02-23T01:29:07Z
dc.date.issued2015-07-09 16:10:33.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/97507
dc.description.abstract摘要 波动率建模一直是经济金融领域重要的研究课题,对于风险管理、投资组合构建、资产定价有着重要的意义。传统波动率模型大多是在平稳性假设下构造的,而现实中,受市场交易机制演变、经济发展及政策变更等因素影响,市场波动可能发生结构性变化,若忽视掉可能存在的结构变化的影响,则有可能造成模型误设,对波动率的动态结构把握不好,直接影响金融资产管理的诸多方面。 为捕捉中国股票市场波动率可能存在的结构变化,本文采用Amado和Teräsvirta(2013)[40]提出的方差分解的思想,将条件方差分解成平稳GARCH部分和非平稳时变平滑转移部分相乘,使得无条件方差具有时变性,并通过模型设定检验建...
dc.description.abstractAbstract Volatility modelling has always been an important research topic in the field of economic and financial research, which is very important for risk management, port-folio construction and asset pricing. Most of the traditional volatility models are based on the stationary assumption. However, due to the revolution of trading mechanism, economy development, and policy changes, there may be...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46706&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=50079
dc.subject结构变化
dc.subject方差分解
dc.subject时变GARCH
dc.subjectstructural change
dc.subjectvariance decomposition
dc.subjecttime varying GARCH
dc.title基于方差分解时变GARCH的中国股指波动率研究
dc.title.alternativeThe Study of Chinese Stock Index Volatility Based on Volatility Decomposition Time Varying GARCH Model
dc.typethesis
dc.date.replied2015-05-08
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_数量经济学
dc.description.note学号:27720121152639


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