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沪、深股市收益率风险的极值VaR测度研究

2002-04-15分类号:F832.5

【作者】封建强
【部门】
【摘要】The paper measures the VaR of return ratio of Shanghai and Shenzhen Stock Market by using extremum statistical method in combining GARCH model. The statistical test indicates the effect of this method is better than the standard deviation and COVAR method based on the GARCH model and David Li's semi parameter method.
【关键词】股市收益率风险  极值VaR测度
【基金】
【所属期刊栏目】统计研究
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