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本文通过高频分笔数据定义了高频连涨、连跌收益率,并对两者的边缘分布以及相关特征进行了分析。为了在连涨(连跌)条件下对连跌(连涨)收益率的风险特征或者条件分位点进行分析,首先对两种收益率进行了两种不同的配对,得到两者的联合序列,并应用Copula方法来分析对两种收益率之间的相依结构,进而基于联合分布对条件VaR进行估计。最后对美国市场的BAC和JPM两支股票进行了实证分析,并从CVaR的角度验证了上涨和下跌时的不对称性以及杠杆效应。
In this paper, the definition of high-frequency pen up data, high and low rate of return, and the edge of the two distribution and related characteristics were analyzed. In order to analyze the risk characteristics or conditional sub-points of a falling (rising) yield under the continual upturn (or down) condition, two different pairs of the two returns are first matched to obtain a combined sequence of the two , And apply the Copula method to analyze the dependency structure between the two returns, and then estimate the conditional VaR based on the joint distribution. Finally, the paper analyzes the two stocks of BAC and JPM in American market, and verifies the asymmetry and leverage effect when rising and falling from the perspective of CVaR.