| 基于组合预测的风险值研究 |
| |
| 引用本文： | 刘启浩,朱才斌. 基于组合预测的风险值研究[J]. 北京工业大学学报(社会科学版), 2008, 8(3): 17-21 |
| |
| 作者姓名： | 刘启浩 朱才斌 |
| |
| 作者单位： | 北京工业大学经济与管理学院,北京,100022;北京物资学院经济学院,北京,101149 |
| |
| 摘 要： | 针对准确地预测一个金融资产的风险值具有一定困难的问题，从风险值的特点出发，探讨了使用组合预测方法来预测风险值的意义以及确定组合预测权重和单个模型选取的方法。结论是用组合预测方法能提高风险值的预测表现；影响预测表现的关键因素是权重和单个模型的选取。
|
| 关 键 词： | 风险管理 风险值 组合预测 分位数回归 |
Study on Value-at-risk Based on Forecast Combination |
| |
| LUI Qi-hao,ZHU Cai-bin. Study on Value-at-risk Based on Forecast Combination[J]. Journal of Beijing Polytechnic University(Social Sciences Edition), 2008, 8(3): 17-21 |
| |
| Authors: | LUI Qi-hao ZHU Cai-bin |
| |
| Affiliation: | LUI Qi-hao~1 ZHU Cai-bin~2 (1.College of Economics , Management,Beijing University of Technology,Beijing 100022,China,2.College of Economics,Beijing Wuzi University,Beijing 101149,China) |
| |
| Abstract: | Value-at-risk currently has become the benchmark of measuring financial market risk,but normally it is difficult to accurately estimate the value-at-risk of one financial asset. Forecast combination is one way of solving the problem.In this paper,we discuss the meaning of asing forecast combination to forecast value-at-risk,and present the methods of obtaining the weights and of deciding the suitable individual forecast models included in the forecast combination.We draw the conclusion that forecast combina... |
| |
| Keywords: | risk management value-at-risk forecast combination quantile regression |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
