| 金融市场随机波动:基于文献综述的视角 |
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| 引用本文： | 邱冬阳,王涛,许雄奇.金融市场随机波动:基于文献综述的视角[J].西南农业大学学报(社会科学版),2009,7(4):4-10. |
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| 作者姓名： | 邱冬阳 王涛 许雄奇 |
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| 作者单位： | 1. 重庆工学院,经贸学院,重庆,400050
2. 西南政法大学,经济学院,重庆,400031 |
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| 基金项目： | 教育部人文社科研究项目"基于MCMC的金融市场收益波动性研究--理论方法与中国实证"，项目负责人:邱冬阳，重庆社科基金项目 |
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| 摘 要： | 探讨了金融市场收益率存在历史、隐含和现实的三类随机波动现象,并呈现出尖峰厚尾、杠杆、集群、微笑、溢出、长记忆、信息流、共生波动等分布特征.进一步归纳了基于不同分布特征的随机波动的GARCH、SV、制度转换、阀值模型等模型,梳理出重点SV模型的三类估计方法:基于矩法、极大似然法估计和马尔科夫链蒙特卡罗(MCMC)方法,以及有效估计SV模型后,其在收益波动率预测、风险管理上的应用.
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| 关 键 词： | 波动性 随机波动模型 综述 |
Stochastic Volatility in Financial Markets: A Literature Review |
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| QIU Dong-yang,WANG Tao,XU Xiong-qi.Stochastic Volatility in Financial Markets: A Literature Review[J].Journal of Southwest Agricultural University:Social Science Edition,2009,7(4):4-10. |
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| Authors: | QIU Dong-yang WANG Tao XU Xiong-qi |
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| Institution: | 1.Economics & Trade School;Chongqing Institute of Technology;Chongqing;400050;China;2.Economics School;Southwest University of Political Science and Law;Chongqing 400031;China |
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| Abstract: | Based on a literature review,this paper points out that there are three stochastic volatility phenomena of return-rate in financial markets,namely,historical,implied,realistic volatilities and that they show various distribution characteristics,such as thick tails,clustering,leverage effect,smiles,spillover,long memory,information arrivals and co-movement volatilities.The authors generalize the stochastic volatility models of GARCH,SV,Regime Switch and Threshold model,based on their different distribution c... |
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| Keywords: | volatility stochastic volatility model review |
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