股票收益率非正态性的蒙特卡罗模拟检验
4999 
3333
财经研究 2005 年 第 31 卷第 10 期, 页码：36 - 43
摘要
参考文献
摘要
现实金融数据的分布通常表现为厚尾性和不对称性,因此用正态分布拟合实际金融数据的分布有很大的局限性。文章利用广义双曲线分布的厚尾性和不对称性对1997年1月2日~2003年9月19日的上证综指日收益率分布分别做了正态分布、广义双曲线分布、正态逆高斯分布和双曲线分布的拟合及蒙特卡罗模拟检验,结果表明广义双曲线分布和正态逆高斯分布可以较好地拟合上证综指日收益率分布。另外,文章还建立了一个带噪声干扰的线性系统,对实际的股票收益率并不服从正态分布,而表现出尖峰厚尾的特征做出了一种可能的解释。
[1]R Mantegna,H Stanley.Scaling behavior in the dynamics of an economic index[J].Nature,1995,(376):46~49.
[2]JoséSantiago,Fajardo Barbachan,Aquiles Rocha de Farias,JoséRenato Haas Or-nelas.Analyzing the use of generalized hyperbolic distributions to value at risk calcula-tions[R].working paper,2002,Banco Central do Brasil.
[3]B Mandelbrot.The variation of certain speculative prices[J].Journal of Business,1963,(36):394~419.
[5]M Yu Romanovsky.Truncated levy distribution of SP500 stock index distribution ofone-share fluctuations in a model space[J].Physica A,2000,(287):450~460.
[6]Barndorff-Nielsen.Exponentially decreasing distributions for the logarithm of particlesize[A].Proceedings of the Royal Society London A,1977:401~419.
[7]E Eberlein,U Keller,K Prause.New Insights into smile,mispricing and value at risk:the hyperbolic model[J].Journal of Business,1998,(71):371~405.
[8]JoséSantiago,Fajardo Barbachan,Aquiles Rocha de Farias,JoséRenato Haas Or-nelas.Goodness-of-fit tests focus on VaR estimation[R].working paper,Banco Cen-tral do Brasil,2002.
[9]Prause K.The generalized hyperbolic model:Estimation,financial derivatives,and riskmeasures[A].Tese de Doutorado,University of Freiburg,1999.
[11]T Vaga.The coherent market hypothesis[J].Financial Analysts Journal,1990,(46):36~49.
[12]Debont Werner F M,Richard H Thaler.Does the stock market overreact?[J].Jour-nal of Finance,1985,(40):793~808.
[4]何建敏,朱林,常松.中国股票市场价格波动的尺度特性[J].中国管理科学,2003,(2):1~5.
[10]埃德加.彼得斯.分形市场分析[M].北京:经济科学出版社,2002.
[13]曹志广,杨军敏,王其藩.证券市场价格行为系统动力学研究[J].管理科学学报,2005,(1):62~72.
[2]JoséSantiago,Fajardo Barbachan,Aquiles Rocha de Farias,JoséRenato Haas Or-nelas.Analyzing the use of generalized hyperbolic distributions to value at risk calcula-tions[R].working paper,2002,Banco Central do Brasil.
[3]B Mandelbrot.The variation of certain speculative prices[J].Journal of Business,1963,(36):394~419.
[5]M Yu Romanovsky.Truncated levy distribution of SP500 stock index distribution ofone-share fluctuations in a model space[J].Physica A,2000,(287):450~460.
[6]Barndorff-Nielsen.Exponentially decreasing distributions for the logarithm of particlesize[A].Proceedings of the Royal Society London A,1977:401~419.
[7]E Eberlein,U Keller,K Prause.New Insights into smile,mispricing and value at risk:the hyperbolic model[J].Journal of Business,1998,(71):371~405.
[8]JoséSantiago,Fajardo Barbachan,Aquiles Rocha de Farias,JoséRenato Haas Or-nelas.Goodness-of-fit tests focus on VaR estimation[R].working paper,Banco Cen-tral do Brasil,2002.
[9]Prause K.The generalized hyperbolic model:Estimation,financial derivatives,and riskmeasures[A].Tese de Doutorado,University of Freiburg,1999.
[11]T Vaga.The coherent market hypothesis[J].Financial Analysts Journal,1990,(46):36~49.
[12]Debont Werner F M,Richard H Thaler.Does the stock market overreact?[J].Jour-nal of Finance,1985,(40):793~808.
[4]何建敏,朱林,常松.中国股票市场价格波动的尺度特性[J].中国管理科学,2003,(2):1~5.
[10]埃德加.彼得斯.分形市场分析[M].北京:经济科学出版社,2002.
[13]曹志广,杨军敏,王其藩.证券市场价格行为系统动力学研究[J].管理科学学报,2005,(1):62~72.
引用本文
曹志广, 王安兴, 杨军敏. 股票收益率非正态性的蒙特卡罗模拟检验[J]. 财经研究, 2005, 31(10): 36–43.
导出参考文献，格式为：
上一篇：关于货币危机后经济衰退的经验分析
