基于风险价值（var）模型与回测检验的统计研究及实证分析

《基于风险价值（var）模型与回测检验的统计研究及实证分析》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、分类号：O212.7密级：学校代码：10638学号：313070103002硕士学位论文基于风险价值（VaR）模型与回测检验的统计研究及实证分析论文作者唐宁指导教师冯长焕教授学科专业概率论与数理统计申请学科门类理学硕士所在学院数学与信息学院论文提交日期二〇一六年四月论文答辩日期二〇一六年五月西华师范大学学位评定委员会四川·南充二〇一六年五月ThestatisticresearchandempiricalanalysisbasedonValueatrisk(VaR)modelandback-testADissertationSubmittedtotheGraduateFac

2、ultyInPartialFulfillmentoftheRequirementFortheDegreeofMasterofNaturalScienceByTANGNingSupervisedbyProfessorFENGChang-huanMajorinProbabilityandStatisticsInDepartmentofMathematicsandInformationChinaWestNormalUniversityNanchong,SichuanProvince,ChinaMay,2016目录目录摘要.............................

3、..........................................................................................................IAbstract...............................................................................................................................II第1章绪论........................................

4、..............................................................................11.1历史背景及问题的提出...................................................................................11.2国内外研究动向................................................................................................21.2.1V

5、aR模型的国内外研究动向...............................................................21.2.2VaR回测检验国内外研究动向...........................................................41.3文章主要内容及创新之处...............................................................................41.4本文结构.................................

6、...........................................................................5第2章时间序列理论.....................................................................................................62.1时间序列定义.............................................................................................

7、.......62.2常见的平稳时间序列模型...............................................................................62.2.1自回归模型（AR）..............................................................................62.2.2移动平均模型（MA）........................................................