摘要
高频数据具有与低频数据截然不同的特征。本文研究了高频数据下ValueatRisk的计算方法,提出在GARCH模型失效时基于GP分布和非参数核密度方法的新方法,文中研究并得到了较理想的效果。
High frequency data has entire different characteristics with lower frequency data. In this paper, the performance of different methods for high frequency data's VaR with week GARCH efficiency was studied, GP distribution and a new nonparametric kernel method was proposed.
出处
《金融研究》
CSSCI
北大核心
2005年第3期59-67,共9页
Journal of Financial Research
关键词
高频数据
VAR
核估计
GP分布
high frequency data, VaR kernel method, GP distribution
