针对金融收益胖尾分布特征及条件波动率长记忆性特征,运用FIGARCH对条件波动率建模、极值理论(extreme value theory,EVT)对标准收益序列的尾部建模,测度出金融市场动态极值风险,进而运用返回测试(back-testing)技术,对模型在样本内的...针对金融收益胖尾分布特征及条件波动率长记忆性特征,运用FIGARCH对条件波动率建模、极值理论(extreme value theory,EVT)对标准收益序列的尾部建模,测度出金融市场动态极值风险,进而运用返回测试(back-testing)技术,对模型在样本内的测度准确性与样本外的推广能力进行稳健性检验.实证研究结果表明,无论是中国新兴市场,还是西方成熟发达市场,金融收益与标准收益均呈现出明显的有偏胖尾分布特征;金融收益条件波动率均展现出长记忆性特征;EVT与FIGARCH模型相结合的动态极值风险测度模型不仅在样本内表现出优越的风险测度能力,而且在样本外同样具有可靠的预测推广能力.展开更多
Using VAR model this paper investigates the existence of a long-run relationship between non-tax revenue,government expenditure,public investment and the GDP. The analysis indicates that the use of non-tax revenue and...Using VAR model this paper investigates the existence of a long-run relationship between non-tax revenue,government expenditure,public investment and the GDP. The analysis indicates that the use of non-tax revenue and the consumption expenditure by the government have a positive long-run effect over the economic growth while public investment does not bear perceivable effect.展开更多
文摘针对金融收益胖尾分布特征及条件波动率长记忆性特征,运用FIGARCH对条件波动率建模、极值理论(extreme value theory,EVT)对标准收益序列的尾部建模,测度出金融市场动态极值风险,进而运用返回测试(back-testing)技术,对模型在样本内的测度准确性与样本外的推广能力进行稳健性检验.实证研究结果表明,无论是中国新兴市场,还是西方成熟发达市场,金融收益与标准收益均呈现出明显的有偏胖尾分布特征;金融收益条件波动率均展现出长记忆性特征;EVT与FIGARCH模型相结合的动态极值风险测度模型不仅在样本内表现出优越的风险测度能力,而且在样本外同样具有可靠的预测推广能力.
文摘Using VAR model this paper investigates the existence of a long-run relationship between non-tax revenue,government expenditure,public investment and the GDP. The analysis indicates that the use of non-tax revenue and the consumption expenditure by the government have a positive long-run effect over the economic growth while public investment does not bear perceivable effect.
