| 基于非参数核估计的股市风险理论及应用研究 |
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| 引用本文： | 黄秀海,滕清秀.基于非参数核估计的股市风险理论及应用研究[J].统计与信息论坛,2010,25(3):7-12. |
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| 作者姓名： | 黄秀海 滕清秀 |
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| 作者单位： | 1. 浙江财经学院数学与统计学院,浙江,杭州,310018
2. 浙江财经学院工商管理学院,浙江,杭州,310018 |
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| 基金项目： | 教育部人文社会科学研究规划基金项目《基于影子价格非线性推断视角的股市泡沫计量及风险监管机制研究》 |
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| 摘 要： | 根据中国股市非市场化特点与股权分置改革的影响等问题，在股票市场价格严重失真情况下，运用非参数核估计方法，拟合了股市的理论收益率指标，通过对比股市实际收益率指标显著性偏离关系，提出了中国股市风险理论的独特含义与计量方法。实证显示：非参数核估计能够很好估计股市理论收益率指标，准确地计量中国股市风险动态变化情况。
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| 关 键 词： | 股市风险 理论收益率 非参数核估计 置信区间 区域监管机制 |
Stock Market Risks Theory and Applied Research Based on Nonparametric Kernel Estimation |
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| HUANG Xiu-hai,TENG Qing-xiu.Stock Market Risks Theory and Applied Research Based on Nonparametric Kernel Estimation[J].Statistics & Information Tribune,2010,25(3):7-12. |
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| Authors: | HUANG Xiu-hai TENG Qing-xiu |
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| Institution: | HUANG Xiu-hai a,TENG Qing-xiu b(a.School of Mathematics , Statistics,b.School of Business Administration,Zhejiang University of Finance , Economics,Hangzhou 310018,China) |
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| Abstract: | Using non-parameter kernel estimate method,this paper simulates stock market's theory returns under the condition of state stock reduction and anamorphic market price,prescribes the definition of stock market risk theory,raise a new risk econometric method.The research results show that it can dynamically measure China's stock market risk well in relatively index.The empirical results show that new econometric method can well measure stock market returns rates and its dynamic risk. |
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| Keywords: | stock market risk returns rates non-parameter kernel estimate confidence interval regional management mechanic |
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