| 基于非参数与L-Moment估计的股市动态极值ES风险测度研究 |
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| 引用本文： | 林宇,谭斌,黄登仕,魏宇.基于非参数与L-Moment估计的股市动态极值ES风险测度研究[J].管理评论,2011(2). |
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| 作者姓名： | 林宇 谭斌 黄登仕 魏宇 |
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| 作者单位： | 成都理工大学商学院;西华师范大学计算机学院;西南交通大学经济管理学院; |
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| 基金项目： | 国家自然科学基金项目(7050102570771097); 教育部“新世纪优秀人才支持计划”(NCET-08-0826);教育部社科研究基金青年项目(10YJCZH0086); 成都理工大学高层次人才科研启动基金(HJ0038) |
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| 摘 要： | 通过运用带宽非参数方法、AR-GARCH模型对时间序列的条件均值、条件波动性进行建模估计出标准残差序列,再运用L-Moment与MLE(maximum Likelihood estimation)估计标准残差的尾部的GPD参数,进而运用实验方法测度出风险VaR(value at Risk)及ES(ExpectedShortfall),最后运用Back-Testing方法检验测度准确性。结果表明,基于带宽的非参数估计模型比GARCH簇模型在测度ES上具有更高的可靠性;基于非参数模型与L-Moment的风险测度模型能够有效测度沪深股市的动态VaR与ES。
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| 关 键 词： | 非参数估计 L-Moment EVT 动态风险测度 ES |
Measuring Dynamic Extreme ES Risk for Stock Markets Based on Nonparametric and L-Moment Method |
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| Lin Yu,Tan Bing,Huang Dengshi , Wei Yu.Measuring Dynamic Extreme ES Risk for Stock Markets Based on Nonparametric and L-Moment Method[J].Management Review,2011(2). |
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| Authors: | Lin Yu Tan Bing Huang Dengshi Wei Yu |
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| Institution: | Lin Yu1,Tan Bing2,Huang Dengshi3 and Wei Yu3(1.Business School,Chengdu University of Technology,Chengdu 610059,2.Computer School of China West Normal University,NanChong 637002,3.School of Economics and Management,Southwest Jiaotong University,Chengdu 610031) |
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| Abstract: | This paper applies bandwidth nonparametric method and AR-GARCH to model the conditional mean and conditional volatility for estimating the standardized residuals of conditional returns,and then,L-Moment and MLE are used to estimate parameters of GPD,and estimate dynamic VaR and ES risk.Finally,this paper applies Back-Testing to test the accuracy of VaR and ES measurement model.Our results show that the nonparametric estimation seems superior to GARCH model in accuracy of risk measurement,and that the risk m... |
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| Keywords: | nonparametric estimation L-Moment EVT dynamic risk measurement ES |
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