Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 黄镇山教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.matcom.2010.05.014 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/3WOS source URL
其它资讯
摘要It is well known that financial returns are usually not normally distributed, but rather exhibit excess kurtosis. This implies that there is greater probability mass at the tails of the marginal or conditional distribution. Mixture-type time series models are potentially useful for modeling financial returns. However, most of these models make the assumption that the return series in each component is conditionally Gaussian, which may result in underestimates of the occurrence of extreme financial events, such as market crashes. In this paper, we apply the class of Student t-mixture autoregressive (TMAR). models to the return series of the Hong Kong Hang Seng Index. A TMAR model consists of a mixture of g autoregressive components with Student t-error distributions. Several interesting properties make the TMAR process a promising candidate for financial time series modeling. These models are able to capture serial correlations, time-varying means and volatilities, and the shape of the conditional distributions can be time-varied from short- to long-tailed or from unimodal to multi-modal. The use of Student t-distributed errors in each component of the model allows for conditional leptokurtic distribution, which can account for the commonly observed unconditional kurtosis in financial data. (c) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
着者Wong CS
会议名称Combined IMACS World Congress/Modelling and Simulation Society-of-Australia-and-New-Zealand (MSSANZ)/18th Biennial Conference on Modelling and Simulation
会议开始日1http://aims.cuhk.edu.hk/converis/portal/Publication/3.07.2009
会议完结日17.07.2009
会议地点Cairns
期刊名称Mathematics and Computers in Simulation
出版年份2011
月份http://aims.cuhk.edu.hk/converis/portal/Publication/3
日期1
卷号81
期次7
出版社Elsevier
页次1http://aims.cuhk.edu.hk/converis/portal/Publication/3http://aims.cuhk.edu.hk/converis/portal/Publication/34 - 1http://aims.cuhk.edu.hk/converis/portal/Publication/34http://aims.cuhk.edu.hk/converis/portal/Publication/3
国际标準期刊号0http://aims.cuhk.edu.hk/converis/portal/Publication/378-4754
电子国际标準期刊号1872-7166
语言英式英语
关键词Conditional leptokurtic distribution; Mixture distribution; Multi-modality; Nonlinear time series model
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED
