基于门限加权不对称斜率模型的CAViaR研究  

A Study on CAViaR based on the Model with Weighted Threshold and Asymmetric Slope

作　　者：彭伟[1] 曾裕峰 袁阳阳 

机构地区：[1]中南财经政法大学金融学院,武汉430073 [2]复旦大学经济学院,上海200433 [3]华中科技大学管理学院,武汉430074

出　　处：《系统管理学报》2016年第3期439-447,共9页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71171090)

摘　　要：同时运用门限函数和加权方法在常用的CAViaR模型中的AS模型基础上,提出了门限加权AS模型和门限加权I-AS模型,对亚洲股市各股指2000~2013年数据进行了分析,运用DQ检验、RQ值和LR统计量来比较各个模型的优劣。研究结果表明,发展中国家金融市场受到滞后风险的影响普遍大于发达国家金融市场受到滞后风险的影响。综合DQ检验、RQ值以及LR统计可知,本文提出的门限加权I-AS模型和门限加权AS模型比AS模型、加权AS模型以及门限AS模型要优越,且门限加权I-AS模型比门限加权AS模型更优越,特别是在5%水平时对发展中国家相对不成熟的金融市场更加具有明显的优势。In this article,the threshold and weighting methods are used to improve the AS model among the CAViaR models.Threshold weighted AS model and threshold weighted I-AS model are proposed.The data of Asian Indexes during the time period 2000 to 2013analyzed via these models.DQ test,RQ values and LR statistic are used to compare the pros and cons of each model.The results show that financial markets in developing countries suffer the risk of lagging financial markets and the risks are generally higher than those in developed countries.Through DQ tests,RQ values and LR statistic,threshold weighted AS model and threshold weighted I-AS model proposed are better than AS model,weighted AS model,and threshold AS model.The threshold weighted I-AS model is better than the threshold weighted AS model,particularly significant at the 5%level for immature financial markets of developing countries.

关 键 词：门限函数 不对称斜率 条件自回归分位数风险价值 

分 类 号：F830.91[经济管理—金融学]