Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
| 张绍洪教授 (统计学系) |
| 张立新博士 (统计学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/asmb.751 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/4WOS source URL
其它资讯
摘要In this paper we investigate the effects of temporal aggregation of a class of Markov-switching models known as Markov-switching normal (MSN) models. The growing popularity of the MSN processes in modelling financial returns can be attributed to their inherited flexibility characteristics, allowing for heteroscedasticity, asymmetry and excess kurtosis. The distributions of the process described by the basic MSN model and the model of the corresponding temporal aggregate data are derived. They belong to a general class Of Mixture normal distributions. The limiting behaviour of the aggregated MSN model, as the order of aggregation tends to infinity, is studied. We provide explicit formulae for the volatility, autocovariance, skewness and kurtosis of the aggregated processes. An application of measuring solvency risk with MSN models for horizons larger than I year and up to 10 years from the baseline U.S. S&P 500 stock market total return time series spanning about 50 years is given. Copyright (C) 2008 John Wiley & Sons, Ltd.
着者Chan WS, Zhang LX, Cheung SH
期刊名称Applied Stochastic Models in Business and Industry
出版年份2009
月份5
日期1
卷号25
期次3
出版社Wiley: 12 months
页次359 - 383
国际标準期刊号152http://aims.cuhk.edu.hk/converis/portal/Publication/4-190http://aims.cuhk.edu.hk/converis/portal/Publication/4
电子国际标準期刊号1526-http://aims.cuhk.edu.hk/converis/portal/Publication/4025
语言英式英语
关键词autocovariance function; characteristic function; high-order moments; Markov switching; mixing sequence; regime-switching models; temporal aggregation
Web of Science 学科类别Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Operations Research & Management Science; OPERATIONS RESEARCH & MANAGEMENT SCIENCE; Statistics & Probability; STATISTICS & PROBABILITY
