The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extre...The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.展开更多
In order to investigate the true post distribution in the whole society, microelasticity （MIE） and macroelasticity （MAE） were defined by regarding all posts as a system. On this basis, the method for measuring pos...In order to investigate the true post distribution in the whole society, microelasticity （MIE） and macroelasticity （MAE） were defined by regarding all posts as a system. On this basis, the method for measuring post distribution was proposed. Using the Legendre dual transformation between MIE and MAE to highlight the probabilities of different levels, the post distribution were analyzed hierarchically. The two-scale Cantor model verified that the multifractal measure is applicable to the post distribution evolution process.展开更多
Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from ...Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from January 1999 to July 2001 (a quotation taken every 5 min) is analyzed using multifractal theories, and it is found that the return volatility correlations are of power laws with a non unique scaling exponent. It is verified that Chinese stock market is quite similar to foreign financial markets in terms of multifractal properties.展开更多
基金The National Natural Science Foundation of China (No70501025 & 70572089)
文摘The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.
基金The National Natural Science Foundation of China (Nos.70771095 and 70572089)
文摘In order to investigate the true post distribution in the whole society, microelasticity （MIE） and macroelasticity （MAE） were defined by regarding all posts as a system. On this basis, the method for measuring post distribution was proposed. Using the Legendre dual transformation between MIE and MAE to highlight the probabilities of different levels, the post distribution were analyzed hierarchically. The two-scale Cantor model verified that the multifractal measure is applicable to the post distribution evolution process.
基金SupportedbytheNationalNaturalScienceFoundationofChina (No .70 1 71 0 5 4 )
文摘Many recent researches with empirical data have demonstrated that financial data have multifractal properties. To study the properties of Chinese stock market, the Shanghai Stock Exchange Composite Index (SSECI) from January 1999 to July 2001 (a quotation taken every 5 min) is analyzed using multifractal theories, and it is found that the return volatility correlations are of power laws with a non unique scaling exponent. It is verified that Chinese stock market is quite similar to foreign financial markets in terms of multifractal properties.
