摘要
本文基于多标度分形理论,提出了一种新的更适用于实际金融资产收益数据的非对称性测度方法:两阶段非对称性检验法,并运用Monte Carlo模拟考察了其与传统的偏度系数检验法的非对称性判定结论差异。实证结果表明,总体来讲,本文提出的两阶段非对称性检验法在常用检验水平下取得了较偏度系数法更为准确的金融资产收益非对称性判定结论,且两阶段非对称性检验法较偏度系数法更适用于具有非独立、非正态特性数据的非对称性检验。
Asymmetry in financial asset returns is not only one factor should be considered in asset pricing and portfolio selection, but also relative to risk measurement and derivatives pricing. In traditional study, the common approach to test asymmetry in asset return distributions is as the standardized third central moment. using the coefficient of skewness defined However, when using the coefficient of skewness to test asymmetry, the key is to make the conclusion right and that not only asset prices should be independent of each other, but also the asset return should obey normal distribution should consider eitectively. In this paper, a new asymmetry test based on multifractal theory, two-step asymmetry testing, is proposed. A Monte Carlo study shows that the test is competitive with coefficient o{ skewness test in common signi{icance levels generally and that TAT testing works more properly for dependent and non-normal data.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2013年第3期114-127,共14页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金项目(71101119)的资助
