基于Bootstrap方法的VaR区间估计  

INTERVAL ESTIMATE FOR VAR BASED ON BOOTSTRAP METHOD

作　　者：曾翀[1] 万建平[1] 

机构地区：[1]华中科技大学数学与统计学院,湖北武汉430074

出　　处：《经济数学》2009年第1期58-63,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(No.10571065)

摘　　要：本文介绍了非参数方法中基于自助法的三种区间的估计方法,并将它们应用到金融资产的VaR计算上.自助法很好地克服了历史模拟法的一些局限性.本文对上证综合指数(IA0001)进行了VaR计算的实证分析,计算了VaR点估计和区间估计,并比较了几种计算方法各自的特点,得出了一些有意义的结果.Three kinds of confidence intervals based on bootstrap method were introduced and used in the VaR evaluation of financial capital.Bootstrap method overcomes many defects of parametric method and history simulation methodl.In this paper VaR of The Shanghai Composite Index was calculated,both point estimator and confidence interval were given.By comparing those methods,some significant results were found.

关 键 词：自助-t法 百分位法 修正百分位法 核密度估计 在险价值VAR 

分 类 号：F22[经济管理—国民经济]