基于小波极值理论的中国股市风险研究  

Risk Analysis of Chinese Stock Market Based on Wavelet-Based Extreme Value Theory

作　　者：董晓玉[1] 李星野[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海理工大学学报》2015年第2期187-193,共7页Journal of University of Shanghai For Science and Technology

基　　金：国家自然科学基金资助项目(71071098);上海市一流学科建设资助项目(XTKX2012)

摘　　要：运用条件风险价值(CVaR)模型实现对市场风险的监控,把小波变换和极值理论结合在一起对CVaR进行估计.第一阶段,用小波方法确定广义Pareto分布的阈值;第二阶段,把基于小波变换的阈值运用到极值理论中,然后运用极值理论估计CVaR.选用香港恒生指数和深证综指进行实证分析,把基于小波变换的极值理论估计的CVaR与条件极值理论估计的CVaR进行比较,根据失败数量和尾部损失检验,发现基于小波变换的极值理论能够提高预测的精准性.The model of conditional value-at-risk （CVaR） was utilized to control market risks. Wavelets technique and extreme value theory （EVT） were combined to estimate the conditional value-at-risk. Wavelets were used as a threshold in generalized Pareto distribution, and EVT was applied with a wavelet-based threshold, then the CVaR was estimated by virtue of the extreme theory. This new model has been applied to two major stock markets, the Hang Seng index and the Shenzhen composite index. The relative performance of the wavelet-based EVT was benchmarked against the conditional extreme value theory. The empirical results show that the wavelet-based EVT improves the predictive performance of financial forecasting according to the number of violations and for the results of tail-loss tests.

关 键 词：极值理论 小波极值理论 条件风险价值 股市风险 

分 类 号：F224.0[经济管理—国民经济]