郑州轻工业学院学报（自然科学版）2011，Vol.26Issue(5)：121-124,4.
基于Generalized - Hyperbolic分布的VaR和CVaR拟合实证研究
An empirical study on Generalized-Hyperbolic distribution based VaR and CVaR estimation
摘要
Abstract
The VaR and CVaR model were calibrated using Chinese market data based on Generalized-Hyperbolic distribution and with maximum likelihood method, the empirical and back testing results are presented. The results showed that the introduction of G-H distribution effectivly reduced the failure rate of VaR model, and the higher the percentile, the better the fit result is. It is thus proved that G-H parametric method is a very good VaR and CVaR estimation technique.关键词
Generalized - Hyperbolic分布/VaR/CVaR/拟合Key words
Generalized-Hyperbolic distribution/ VaR/ CVaR/ estimation分类
数理科学引用本文复制引用
张亮亮,杨青,熊国兵..基于Generalized - Hyperbolic分布的VaR和CVaR拟合实证研究[J].郑州轻工业学院学报（自然科学版）,2011,26(5):121-124,4.基金项目
国家自然科学基金项目(70702028) （70702028）
上海浦江人才计划资助项目 （）
