2021
DOI: 10.1360/n012019-00079
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Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples

Abstract: 关键词 α-混合 半参数 变系数 期望分位数 在险价值 三阶段估计 MSC (2020) 主题分类 62G05, 91G70 1 引言 风险度量建模一直是统计学和金融计量学中重要的研究议题和前沿问题. 获得诺贝尔奖的美国经 济学家 Markowitz [1] 在投资组合理论中, 首次提出了收益与风险的度量理论, 即期望代表收益与方差 代表风险的度量方法, 从而开创了风险的量化时代. 随后以 Black 和 Scholes [2] 的资产定价理论为标 王子剑等: 相依样本下半参数变系数期望分位数风险度量模型统计推断 志, 风险度量推动了金融计量学与风险管理的发展. 此外发展出更多风险管理的方法, 包括著名的一般 均衡理论 [3, 4] 和保费均衡原则 [5] 等. 根据风险度量的侧重点不同, 可以将常用的风险度量分为两大类: 基于矩的风险度量和基于分位 点的风险度量. 有关矩的风险度量主要有方差 (variance)、半方差 (semi-variance)、绝对离差 (absolute deviation)、半绝对离差 (semi-absolute deviation)、低位部分矩 (lower partial mo… Show more

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“…Ref. [ 30 ] proposed a semi-parametric model with varying-coefficients to analyze the EVaR under the assumption of -mixing. Ref.…”
Section: Introductionmentioning
confidence: 99%
“…Ref. [ 30 ] proposed a semi-parametric model with varying-coefficients to analyze the EVaR under the assumption of -mixing. Ref.…”
Section: Introductionmentioning
confidence: 99%