1) weighted realized volatility
赋权已实现波动
1.
A more efficient volatility measurement-weighted realized volatility-is put forward,which makes realized volatility become its special case.
本文则对已实现波动进行了改进,提出了另一种更为有效的波动度量方法———赋权已实现波动,并且使得“已实现”波动成为赋权已实现波动的一个特例。
2.
In this paper,we compare realized volatility and weighted realized volatility from four aspects: defnition,bias,efficiency and calendar effect.
赋权已实现波动则对已实现波动进行了改进,是另一种更为有效的波动度量方法。
2) Adjusted Weighted Realized Volatility
调整赋权"已实现"波动
1.
Based on the research results, a new estimating method, Adjusted Weighted Realized Volatility, is proposed as the improvement of Weighted Realized Volatility and proven to be unbiased and more efficient.
而后,基于国内外学者已有的研究成果,提出赋权“已实现”波动方法的改进——调整赋权“已实现”波动,理论上证明其无偏性和有效性;利用我国上证股指高频数据计算得到不同估计方法下的积分波动的不同估计量,实证说明调整赋权“已实现”波动方法更优化,并选取统计指标最优的对数赋权“已实现”极差波动率作为后续建模工作的研究对象;基于收益率序列的平稳性和长记忆性特征,本文建立AR(i)-FIGARCH(p,d,q)模型,采用聚合序列分析法和极大似然估计法确定模型参数。
3) weighted realized variance
赋权已实现变差
1.
Firstly,a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
首先提出了基于高频数据的赋权已实现变差估计量和赋权已实现协变差估计量。
4) Weighted Realized Range-based Volatility
加权已实现极差波动
1.
Weighted Realized Range-based Volatility Based on High-frequency Data and Its Empirical Analysis;
高频数据的加权已实现极差波动及其实证分析
5) realized volatility
"已实现"波动
1.
Characteristics and modeling of adjusted realized volatility for high frequency time series;
高频时间序列的改进“已实现”波动特性与建模
2.
In this paper,through studying the efficiency of the realized bipower variation and the realized multipower variation,which are new methods of volatility estimator,conclusion is draw that in general the realized bipower variation is more efficient than the realized volatility.
近年来,基于金融高频数据的波动率研究成为金融学研究领域的热点,而有效性是衡量波动率估计量优劣的重要标准,本文对波动率估计量的新方法“已实现”双幂次变差和“已实现”多幂次变差的有效性进行了研究,得出“已实现”双幂次变差在一般条件下比“已实现”波动更有效的结论,并且证明了在一定条件下,“已实现”多幂次变差的幂次个数越多,该波动率估计量的有效性越高。
3.
In this paper,we apply realized volatility which is a new volatility estimator based on highfrequency data to the calculation of value at risk.
将基于高频金融数据的“已实现”波动这种波动度量新方法引入到了VaR的计算中,并利用上海股票市场的高频金融数据对上海股票市场的VaR的持续性进行了实证分析,证明上海股票市场的{VaRt}存在持续性。
6) realized volatility
已实现波动
1.
Weighted realized volatility and its long memory and optimal frequency;
赋权已实现波动及其长记忆性,最优频率选择
2.
The Research on Realized Volatility in China Stock Market;
中国股票市场已实现波动研究
3.
The key points and main achievements are listed as follows: 1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.
本文的主要工作和创新点如下: 1)分别基于已实现波动和已实现极差波动与积分波动之间误差项的渐近分布,给出了一个高频数据抽样方法。
补充资料：因侵害姓名权、肖像权、名誉权、荣誉权产生的索赔权
因侵害姓名权、肖像权、名誉权、荣誉权产生的索赔权：公民、法人的姓名权、名称权，名誉权、荣誉权、受到侵害的有权要求停止侵害，恢复名誉，消除影响，赔礼道歉，并可以要求赔偿损失。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条