期刊文献+

谱估计在金融时间序列模型验证中的应用 被引量:1

Application of spectrum estimation for verifying the financal time series model
原文传递
导出
摘要 为将基于窗谱估计的模型验证技术应用于金融时间序列领域,以解决金融时间序列模型的设定正确性。本文通过实证比较的方法进行检验研究,结果表明:即使模型在5%置信水平下全部通过Basel规则、Kupiec统计量、Christofferson统计量检验,仍有可能存在模型设定错误,无法通过频谱分析模型验证法检验。也就是说,频谱分析模型验证法相对于当前商业银行或银监局在管理模型风险中广泛使用的回顾测试方法,在金融时间序列模型的正确性设定检验方面具有更强的模型验证能力,它能揭示系统的更全面的信息。 The window spectrum estimation technique was used to validate the financial time series model for bank finances. The empirical results show that even though the model is verified by the Basel accord, Kupiec statistics, and Christofferson statistics at the 5 ~ confidence level, the model may be wrongly specified and cannot pass the model specification test based on the window spectrum estimation. Thus, the window spectrum estimation technique provides more effective model validation than the traditional back-test methods usually used by commercial banks and monitoring agencies since it shows more information about the system.
作者 刘晓曙
出处 《清华大学学报(自然科学版)》 EI CAS CSCD 北大核心 2008年第9期1529-1532,共4页 Journal of Tsinghua University(Science and Technology)
关键词 金融 回顾测试 谱估计 模型验证 finance back-test spectrum estimation model validation
  • 相关文献

参考文献11

  • 1Montgomery D C, Conrad R G. Comparison of simulation and flight-test date for missile systems [J]. Simulation, 1980, 34(2) : 63-72.
  • 2郑智琴,孟秀云.某型导弹系统仿真模型验证[J].计算机仿真,2004,21(10):38-40. 被引量:11
  • 3刘鹏,陈长兴,白云.使用窗谱估计法验证仿真系统模型[J].空军工程大学学报(自然科学版),2000,1(2):69-71. 被引量:10
  • 4刘藻珍.基于飞行试验数据的仿真模型验证方法的研究[J].系统仿真学报,2002,14(3):281-284. 被引量:29
  • 5李鹏波,谢红卫.频谱分析方法在仿真可信性研究中的应用[J].系统仿真学报,1998,10(3):18-21. 被引量:40
  • 6Kupiec P. Techniques for verifying the accuracy of risk management models [J]. Journal of Derivatives, 3:73 -84.
  • 7Hong Y and Li H, Nonparametric specification testing for continuous-time models with applications to interest rate term structures [J]. Review of Financial Studies, 2005, 18: 37 - 84.
  • 8Welch P D. The use of fast Fourier transform for the estimation of power spectra: A method based on time averaging over short modified periodograms [J]. IEEE Trans Audio Electroacoustics, 1967, 15: 70 - 73.
  • 9菲利普·乔瑞.风险价值-金融风险管理新标准[M].北京:中信出版社,2000.
  • 10Christoffersen P. Evaluating interval forecasts [J]. International Economic Review, 1998, 39: 841- 862.

二级参考文献10

  • 1[1]严士健等.概率论及数理统计[M].北京:高等教育出版社,1990.
  • 2[1]Montgomery D.C.,Conard R.G.Comparison of simulation and flight-test date for missile systems[J].SIMULATION,1980,34(2):63~72.
  • 3吴立人. 仿真模型有效性定量确认方法[C].'99全国仿真技术学术会议论文集, 1999.108-110.
  • 4菲利普·乔瑞.风险价值-金融风险管理新标准[M].北京:中信出版社,2000.
  • 5Kupiec,P..Techniques for verifying the accuracy of risk management models[J].Journal of Derivatives,1995,3:73-84.
  • 6Christoffersen,P..Evaluating Interval Forecasts,Internaional Economic Review[J].1998,39:841-862.
  • 7Rosenblatt M..Remarks on a multivariate transformation[J].Annals of Mathematical Statistics,1952,23:470-472.
  • 8Diebold,F X,T A Gunther and A S Tay.Evaluating density forecasts with applications to financial risk management[J].International Economic Review,1998,39:863-883.
  • 9Elerian O,Chib S and Shephard N.Likelihood inference for discretely observed non-linear diffusions[J].Econometrica,2001,69:959-93.
  • 10Hong,Y.and H.Li.Nonparametric Specification Testing for Continuous-Time Models With Applications to Interest Rate Term Structures[J].Review of Financial Studies,2004,forthcoming.

共引文献96

同被引文献5

引证文献1

二级引证文献3

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部