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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Wang Lina |
| Copyright Year | 2010 |
| Description | Author affiliation: School of Business Administration, Shanghai Lixin University of Commerce, Shanghai, China (Wang Lina) |
| Abstract | CVaR-SV-N model can be used to describe the characters of the stock index futures return, such as peaks, thick tails and volatility clustering. The paper apply the CVaR-SV-N model to the empirical study on the data sample coming from daily income rate of stock index futures of Shanghai and Shenzhen 300 main contracts (IF1012). The conclusion is that fluctuations of CVaR forecast earnings based on SV-N model is in compliance with the trend of the original returns. The accurate CVaR test reveals that the accuracy of CVaR forecast earnings under 95% confidence level is dramatic, that is, the CVaR-SV-N model can predict the risk accurately. |
| Starting Page | 612 |
| Ending Page | 616 |
| File Size | 140306 |
| Page Count | 5 |
| File Format | |
| ISBN | 9781424469277 |
| e-ISBN | 9781424469284 |
| DOI | 10.1109/ICIFE.2010.5609434 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2010-09-17 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Fluctuations stock index futures Predictive models Markov processes Gaussian distribution CVaR model SV-N model Indexes Mathematical model Portfolios |
| Content Type | Text |
| Resource Type | Article |
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