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Nonparametric Volatility Estimation Of Asset Price And Its Applications To Chinese Stock Market

Posted on:2004-12-28Degree:MasterType:Thesis
Country:ChinaCandidate:W B LuFull Text:PDF
GTID:2156360095453217Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
Because the volatility of asset price comes from the accumulation of the risk in finance system and almost all financial crises are related to excessive volatility of asset price, juding and explaining the volatility is always one of the focuses in financial risk study.In this paper, we use nonparametric regression method in Chinese financial time series, we also use both kernel regression after improving cross-validation function and local polynomial estimation of regression under mixing condition to study and analyze the volatility in Chinese stock market. This paper is arranged as follows: in chapter one, we introduce the volatility model of heteroscedasticity in financial time series; in chapter two, we introduce some preliminary knowledge; in chapter three, nonparametric kernel estimation is discussed in the respects of bandwidth selection, consistency and normality of estimator; in chapter four, local polynomial regression estimation is also discussed; at last, we estimate the volatility of Chinese stock market with these methods and conclude some interesting results in chapter five.
Keywords/Search Tags:volatility, heteroscedasticity, α-Mixing, φ-Mixing, ρ-Mixing, nonparametric regression, kernel regression estimation, local polynomial estimation of regression, iterated cumulative sums of squares (ICSS), cross-validation function
PDF Full Text Request
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