注:图中上半部分为2002年1月7日至2019年12月31日上证综合指数的收益率序列和MJ-NGARCH模型下所得VaR和CVaR值,下半部分为CVaR和VaR值的差异。

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注:图中上半部分为2002年1月7日至2019年12月31日上证综合指数的收益率序列和MJ-NGARCH模型下所得VaR和CVaR值,下半部分为CVaR和VaR值的差异。

","titleCn":"图1 MJ跳扩散过程下NGARCH波动率模型尾部风险度量及差异比较","id":"F1","thumbnailUrl":"1000-1549-437-1-47/thumbnail/img_1.png"}],"authorNotes_cn":["朱福敏,联系方式为zhufumin@szu.edu.cn。","

感谢匿名评审人提出的修改建议,笔者已做了相应修改,本文文责自负。

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基于Levy-GARCH模型的股票市场尾部风险度量研究

朱福敏, 宋佳音, 刘仪榕

中央财经大学学报 ›› 2024, Vol. 0 ›› Issue (1) : 47-60.

PDF(1432 KB)
PDF(1432 KB)
中央财经大学学报 ›› 2024, Vol. 0 ›› Issue (1) : 47-60.
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基于Levy-GARCH模型的股票市场尾部风险度量研究

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Tail Risk Measurement in Stock Market Based on Levy-GARCH Model

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2022-11-30 2024-01-15
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ISSN 1000-1549
CN 11-3846/F
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