基于收益长期相关的风险度量及投资期限效应  

Risk Measurement Based on Returns' Long-term Dependence and Investment Horizon Effect

作　　者：舒建平[1] 胡培[1] 范钛[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031

出　　处：《系统工程理论方法应用》2005年第5期462-466,共5页Systems Engineering Theory·Methodology·Applications

摘　　要：在资产收益具有长期相关性的框架下,从序列可预测性的角度将风险定义为实际与预测结果的偏差;认为该风险能够用序列中的噪声进行度量。在此基础上,还以不同抽样间隔的上证综合指数收益序列对风险度量的投资期限效应进行了考察。Risk can be defined as difference between predictability under the framework of existence of measured by the noise of return series according investment horizon effect or risk measurement with Shanghai stock market. the real and forecasted result from the point of series long-term dependence in return series, and can be to this paper. On basis of this, also studied the different sampling interval of index retun series of

关 键 词：风险度量 投资期限效应 长期相关性 

分 类 号：F832.4[经济管理—金融学]