摘要
基于状态转移模型计算的条件期望与方差,可以应用到金融领域,计算和度量市场在不
同状态下的收益与风险.Nielson基于2状态转移模型,计算了2状态下股市
的收益率的条件期望与方差.然而,实际研究中,常需要用到3状态、甚至多状态的状态
转移模型.因此,基于Nielson的研究,从2状态推广到了状态.基于状态转
移模型计算了条件期望、条件方差及无条件期望、无条件方差,该结果更具普遍性且形式
更为简洁.最后,采用计算期望与方差的方法,分析中国股市收益率与波动率.实证结
果表明,中国股市除存在牛市、熊市外,还存在政策市,且其具有
`` 低风险,高收益"的特点.
利用状态转移模型计算的期望与方差可以更合理地度量金融市场在不同情况下的收益与风险
.
Abstract
The conditional means and variances via regime-switching model could
be applied to measure the return and risk of financial market in
different situations. Therefore, Nielson (2000) estimated the
unconditional and conditional means as well as variances of stock
returns via two-state regime switching model. However, three-state,
even -state regime switching model is needed always. Consequently,
in this paper, the two-state regime-switching model is extended to -state.
A simple and general form of unconditional and conditional means as
well as variances based on -state regime-switching model is given.
The result of this paper is applied to investigate the return and
volatility of Chinese stock market. Empirical results show that
there is not only bull market and bear market, but also `` policy
market" in Chinese stock market, and the characteristic of `` low
risk, high return" exists in Chinese `` policy market". Thus, the
conditional means and variances based on n-state regime-switching
model is a better tool to measure the return and risk of financial
market in different situations.
关键词
状态转移模型 /
状态 /
条件期望 /
条件方差.
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Key words
Regime-switching model /
-state /
conditional means /
conditional variances.
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张嘉为 郑桂环 张珣.
, {{custom_author.name_cn}}.
基于状态转移模型的条件期望与方差---从2状态到状态的推广. 系统科学与数学, 2008, 28(11): 1398-1406. https://doi.org/10.12341/jssms10139
ZHANG Jiawei ZHENG Guihuan ZHANG Xun.
, {{custom_author.name_en}}.
The Conditional Means and Variances Based on Regime-SwitchingModel --- Generalization from Two-State to -State. Journal of Systems Science and Mathematical Sciences, 2008, 28(11): 1398-1406 https://doi.org/10.12341/jssms10139
中图分类号:
91B28
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