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金融资产收益非对称性的多标度分形测度及其在VaR计算中的应用

, PP. 13-23

Keywords: 多标度分形理论,非对称测度,风险价值,后验分析

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Abstract:

?通过提炼多标度分形分析过程中所产生的对描述金融资产收益非对称特征有益的统计信息,提出了一种新的资产收益非对称测度——多标度分形非对称测度(Multifractalasymmetrymeasurement)Δf,并以沪深300指数长达7年左右的5分钟高频数据为实证样本,通过两种不同的VaR后验分析(Backtestinganalysis)方法,实证对比了Δf测度和传统的偏度系数(Coefficientofskewness)测度在市场风险计算准确性方面的差异。实证结果表明:基于Δf测度的市场风险计算模型的VaR计算精度优于基于偏度系数测度的对应模型,Δf测度具有较偏度系数测度更为优异的对金融资产收益非对称特征的刻画能力。

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