1) Adjusted Realized Volatility
调整"已实现"波动率
1.
The Comparative Research on Volatility Prediction Ability of Adjusted Realized Volatility,GARCH Model and SV Model;
调整"已实现"波动率与GARCH及SV模型对波动的预测能力的比较研究
2) Adjusted Weighted Realized Volatility
调整赋权"已实现"波动
1.
Based on the research results, a new estimating method, Adjusted Weighted Realized Volatility, is proposed as the improvement of Weighted Realized Volatility and proven to be unbiased and more efficient.
而后,基于国内外学者已有的研究成果,提出赋权“已实现”波动方法的改进——调整赋权“已实现”波动,理论上证明其无偏性和有效性;利用我国上证股指高频数据计算得到不同估计方法下的积分波动的不同估计量,实证说明调整赋权“已实现”波动方法更优化,并选取统计指标最优的对数赋权“已实现”极差波动率作为后续建模工作的研究对象;基于收益率序列的平稳性和长记忆性特征,本文建立AR(i)-FIGARCH(p,d,q)模型,采用聚合序列分析法和极大似然估计法确定模型参数。
3) realized volatility
"已实现"波动率
1.
The periodic analysis of realized volatility in china stock market;
中国股市“已实现”波动率的周期性研究
2.
The paper extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate highfrequency data,to describe volatility and correlation of multivariate.
把基于一维高频数据的“已实现”波动率扩展到多维高频数据情形,给出“已实现”协方差阵,并给出了协方差阵的极限性质,用以刻画多维金融变量的波动率和相关性。
4) Realized Volatility
已实现波动率
1.
An Empirical Research on Jump Behavior of Realized Volatility in Chinese Stock Markets;
中国股市已实现波动率的跳跃行为研究
2.
Therefore,the real volatility can be estimated by the realized volatility based on the highest frequency in Chinese stocks markets.
从修正市场微观结构等干扰因素的角度出发,基于高频交易数据,同时采用一阶偏差修正方法估计了深圳证券交易市场个股的已实现波动率。
3.
While discontinuous jump separated from realized volatility acts as an important element for the yield volatility of short-term interest rate of inter-bank bond market.
银行间债券市场短期利率波动率的估计和预测是利率风险的度量和监控过程中一项极其重要的内容,而从已实现波动率分离出来的离散跳跃是银行间债券市场短期利率波动率的重要成分,对离散跳跃的准确估算有助于金融机构识别和控制风险,提高风险管理水平。
5) realized volatility
"已实现"波动
1.
Characteristics and modeling of adjusted realized volatility for high frequency time series;
高频时间序列的改进“已实现”波动特性与建模
2.
In this paper,through studying the efficiency of the realized bipower variation and the realized multipower variation,which are new methods of volatility estimator,conclusion is draw that in general the realized bipower variation is more efficient than the realized volatility.
近年来,基于金融高频数据的波动率研究成为金融学研究领域的热点,而有效性是衡量波动率估计量优劣的重要标准,本文对波动率估计量的新方法“已实现”双幂次变差和“已实现”多幂次变差的有效性进行了研究,得出“已实现”双幂次变差在一般条件下比“已实现”波动更有效的结论,并且证明了在一定条件下,“已实现”多幂次变差的幂次个数越多,该波动率估计量的有效性越高。
3.
In this paper,we apply realized volatility which is a new volatility estimator based on highfrequency data to the calculation of value at risk.
将基于高频金融数据的“已实现”波动这种波动度量新方法引入到了VaR的计算中,并利用上海股票市场的高频金融数据对上海股票市场的VaR的持续性进行了实证分析,证明上海股票市场的{VaRt}存在持续性。
6) realized volatility
已实现波动
1.
Weighted realized volatility and its long memory and optimal frequency;
赋权已实现波动及其长记忆性,最优频率选择
2.
The Research on Realized Volatility in China Stock Market;
中国股票市场已实现波动研究
3.
The key points and main achievements are listed as follows: 1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.
本文的主要工作和创新点如下: 1)分别基于已实现波动和已实现极差波动与积分波动之间误差项的渐近分布,给出了一个高频数据抽样方法。
补充资料：防灾损费率调整
防灾损费率调整
【防灾损费率调整】对一些续保客户，应根据其危险事故发生记录和赔款记录来设置费率调整的规定。让防损效果、事故率、赔款率与其交费义务直接挂钩，敦促他们以保险防灾防损为己任。如，有的国家制定汽车保险的费率浮动表，费率随事故率减少而下调;随事故率增加、赔款增加而上浮等。 防灾损费率调整还体现在防灾设施好者费率下调，无防灾损设施者费率上浮等规定。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条