摘要
根据多元t分布的定义及性质,推导出二维t分布随机变量差的条件分布仍服从t分布.在假定股票价格对数与收益率服从二维t分布的基础上,利用该性质,可以得到不同股票价格水平条件下,收益率的一维条件t分布,进而计算出价格条件VaR.利用多元t分布研究价格条件的收益率分布问题,与正态分布相比,较好地刻画了证券收益率分布的尖峰厚尾现象.
Based on the definition and properties of multivariate t distribution,this paper deduced the conclusion that conditional distribution of the random variable differential from the two-dimensional t distribution still obeys t distribution.We obtained the one-dimensional conditional t distributions of stock return in different stock price levels on the assumption that stock price logarithmic and return obey two-dimensional t distribution,and then determine price conditions VaR by calculating.Compared with normal distribution,the solution in this paper better characterizes the leptokurtic and thick tail properties of stock return distribution.
出处
《数学的实践与认识》
CSCD
北大核心
2014年第10期104-107,共4页
Mathematics in Practice and Theory
关键词
条件收益率
条件VAR
二维t分布
conditional revenue ratio
conditional VaR
two-dimension t distribution
