| 非参数核估计计算VaR在农业板块的实证研究 |
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| 引用本文： | 夏师.非参数核估计计算VaR在农业板块的实证研究[J].黄石理工学院学报(人文社科版),2013(1):70-72. |
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| 作者姓名： | 夏师 |
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| 作者单位： | 百色学院数学与计算机信息工程系 |
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| 基金项目： | 广西省教育厅项目“混合误差下非参数加权核估计的大样本性质”,项目编号:201106LX622 |
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| 摘 要： | 使用非参数核密度估计方法计算风险价值VaR,由于所用方法不需要进行分布假设,其计算较参数方法更为准确。用此方法对45只农、林、牧、渔类农业上市公司的股票收益率的风险价值VaR进行计算,发现农业上市公司的股票投资风险比普通的股票要高,此结论对于农业投资者、市场管理者以及农业上市公司经营者的决策具有一定参考价值。
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| 关 键 词： | 农业上市公司 非参数核密度估计 风险价值 |
Empirical Research of Nonparametric Kernel Estimation Calculation VaR in the Agricultural Sector |
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| XIA Shi.Empirical Research of Nonparametric Kernel Estimation Calculation VaR in the Agricultural Sector[J].Journal of Huangshi Institute of Technology:Humanities and Social Sciences,2013(1):70-72. |
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| Authors: | XIA Shi |
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| Institution: | XIA Shi(Department of Mathematics and Computer Engineering,Baise University,Baise Guangxi 533000) |
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| Abstract: | Using nonparametric kernel density estimation method to calculate the risk value VaR has more accurate parameters,because the method does not need distribution hypothesis.Using this method to conduct VaR calculation of risk value about 45 stocks of agricultural listed companies concerning farming,forestry,husbandry and fishing,it finds that investment risk of agricultural listed company stock is higher than common stock.This conclusion has a certain reference value for making decisions of agricultural investors,market managers and agricultural listed company’s operators. |
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| Keywords: | agricultural listed company nonparametric kernel estimation calculation risk value |
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