As we know, financial time series is asymmetry and fat-tailed. Negative skewness and excess kurtosis are two stylized facts in financial markets.

然而91日本在线精品高清观看，金融時間序列的分布往往具有&非對稱&和&厚尾&特征，表現(xiàn)為&負偏度&和&超出峰度&大秀视频网。

P. Morgan and general econometrics model can not capture the behaviors of this kind of fat-tailed distribution effectively, so the VaR estimations should be adjusted upward.

而實證上国亚洲视频，J。 P日韩激情另类。 Morgan所提出的RiskMetrics模型無法有效捕捉此種分配不對稱與寬尾的特性五月社社社色区，使得VaR有向上調(diào)整的必要。

The smaller the tail index of fat-tailed distribution,the fatter the tail.

根據(jù)第二章給出的尾概率公式計算收益率分布的上下尾概率中国国产精品毛片视频，并且繪出相應的尾概率圖欧美日本大片在线观看黄。

Thirdly the traditional Monte Carlo simulation method assumes that the price change follows the Geometric Brownian Motion, so it also cannot deal with data which has fat-tailed character.

三、傳統(tǒng)的蒙特卡洛模型假設(shè)價格變化服從幾何布朗運動www.五月天com，同樣不能有效地刻畫收益率序列的尖峰厚尾特征A级黄丝袜网站。

Preliminary data analysis shows that the return rates distribution of SSE is fat-tailed and doesn't obey normal distribution and there is"leverage effect"in Shanghai Stock market.

基本統(tǒng)計分析發(fā)現(xiàn)，上證綜合指數(shù)回報率分布存在尖峰肥尾性a片欧美与国产一区二区，不服從正態(tài)分布国产日日操夜夜操，并且還具有杠桿效應。

In view of the peaked and fat-tailed characteristics of financial return data distribution and its effect of clustering fluctuation and especially the "leverage effect" of fluctuation on VaR estimates and some efficiencies when estimating VaR with various assumptions of return data distribution,a semi-parameter approach based on EGARCH-VaR model is developed.

在綜合考慮了金融收益數(shù)據(jù)分布的尖峰厚尾特征及其波動集群性黄色视频小说蜜臀在线观看，尤其是其波動的&杠桿效應&對VaR估計的影響以及各種假定收益率分布在計算風險價值時存在不足的基礎(chǔ)上人人操人人干综合网，提出了基于EGARCH-VaR的半?yún)?shù)方法，并且與正態(tài)分布和t分布假設(shè)下的GARCH模型的VaR計量方法進行比較2022国产激情视频在线观看看，通過實證分析国产精品视频你懂的97，并利用后驗測試，表明基于EGARCH-VaR的半?yún)?shù)方法對風險價值的測度優(yōu)于正態(tài)分布和t分布假設(shè)下GARCH模型的VaR計量方法国内精品久久久久久久久久。

In view of the peaked and fat-tailed characteristics of financial return data distribution and its effect of clustering fluctuation and especially the "leverage effect" of fluctuation on VaR estimates and some efficiencies when estimating VaR with various assumptions of return data distribution,a semi-parameter approach based on EGARCH-VaR model is developed.

證券風險是指未來證券價格或收益的不確定性或波動性鲁鲁鲁免费视频，證券風險管理的基礎(chǔ)和核心是對風險的定量分析和評估·國內(nèi)外研究表明，金融時間序列通常帶有一些明顯的特性：金融時間序列的收益率分布存在尖峰厚尾性[1]及其波動具有集群性[2]亚欧黄片；股票的價格波動還有&杠桿效應&[3]·這些顯著

While most people realise it is hard to calculate VAR using internal data alone (because of the small sample size), many are unaware that because op risk is characterised by fat-tailed distributions, even the expected loss cannot be estimated using just internal loss data.

雖然大多數(shù)人認識到單單使用內(nèi)部數(shù)據(jù)很算計算出風險值国产精品视频区一区二，可很多人沒認識到這一點：因為操作風險的特征是厚尾分布a片免费资源，要是單單使用內(nèi)部損失數(shù)據(jù)，連預期損失都無法估計出來cao进入在线观看视频。

Perennial and small fat-tailed sheep of Inner Mongolia, Inner Mongolia small·ò,èin Inner Mongolia, AnhuiRestaurant Group, a large pot nationwide chain cooperation.

常年和內(nèi)蒙古小尾羊一级婬片A片AAA毛片A、內(nèi)蒙古小肥羊、內(nèi)蒙古草原牧歌欧美在线一二三xx、安徽蜀王餐飲集團亚洲一区二区三区在线观看网站、等全國大型火鍋連鎖企業(yè)合作。

By employing normal probability plot,R/S analysisand autocorrelation function analysis,we find,with the high frequency data,the return of domestic financial market described by Shanghai index andShenzhen composite index presents the stylized facts,such as fat-tailed distribution,clustering and dependence,which infer that our market can not be regarded as efficientmarket.

利用正態(tài)概率作圖91精品有码在线、R/S分析和自相關(guān)函數(shù)分析等方法欧美色图亚洲图区，我們發(fā)現(xiàn)在高頻數(shù)據(jù)下（時間長度為15分鐘），以上證指數(shù)和深成指數(shù)為代表的我國金融市場呈現(xiàn)出收益率的&肥尾&超碰在线视屏观看、&集聚&和相關(guān)性等格式化特征www.MADOUav.com，這說明我國金融市場不能被看成是有效市場。