VaR风险度量下的β系数估计方法和实证研究.pdf

VaR风险度量下的β系数:估计方法和实证研究 作者： 姚京， 袁子甲， 李仲飞， 李端， YAO Jing， YUAN Zi-jia， LI Zhong-fei， LI Duan 作者单位： 姚京,YAO Jing(复旦大学,金融研究院,上海,200433)， 袁子甲,李仲飞,YUAN Zi-jia,LI Zhong-fei(中山大学,岭南(大学)学院,广州,510275)， 李端,LI Duan(香港中文大学系统工 程与工程管理系,香港) 刊名： 系统工程理论与实践 英文刊名： SYSTEMS ENGINEERING —THEORY PRACTICE 年，卷(期)： 2009，29(7) 被引用次数： 0次 参考文献(27条) 1.Sharpe W F Capital asset prices:A theory of market equilibrium under conditions of risk 1964 2.Lintner J The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets 1965 3.Mossin J Equilibrium in a capital asset market 1966 4.Embrechts P.McNeil A.Straumann D Correlation and dependency in risk management:Properties and pitfalls 1999 5.Longin F.Solnik B Extreme correlation of international equity markets 2001 6.Ang A.Chen J Asymmetric correlations of equity portfolios 2002 7.姚京.袁子甲.李仲飞 基于相对VaR的资产配置和资本资产定价模型[期刊论文]-数量经济技术经济研究 2005(12) 8.Ho T.Chen M.Eng F Var analytics:Portfolio structure,key rate convexities,and VaR betas 1996(01) 9.Jorion P Value at Risk:The New Benchmark for Controlling Derivatives Risk 1997 10.Duffle D.Pan J An overview of value at risk 1997 11.Silverman B W Density Estimation for Statistics and Data Analysis 1986 12.Sheather S J.Marron J S Kernel quantile estimators 1990(410) 13.Butler J S.Schachter B Estimating value at risk with a precision measure by combining kernel estimation with historical simulation 1998 14.Athayde G.Flores R G Finding a maximum skewness portfolio-a general solution to three-moments portfolio choice 2004(07) 15.Jondeau E.Rockinger M Optimal portfolio allocation under higher moments 2006(01) 16.Hill G W.Davis A W Generalized asymptotic expansions of cornish-fisher type 1968 17.Nelsen R An Introduction to Copulas 1999 18.Venter G Tails of copulas 2001 19.Black F.Jensen M C.Scholes M The Capital Asset Pri