新的非参数测量即时和格兰格因果关系尾巴相互依赖的新非参数测量
Cees Diks1,2, Marcin Wolski1,3
1Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), University of Amsterdam, Amsterdam, The Netherlands.
Journal of applied statistics
|February 19, 2024
概括
本研究引入了一种新的非参数方法来评估风险溢出效应和传染,为分析金融部门相互依存提供了一个强大的工具. 这种方法可以更清楚地了解风险反循环,特别是在不规则的市场条件下.
科学领域:
- 计量经济学 计量经济学
- 金融风险管理 金融风险管理
- 时间序列分析时间序列分析
背景情况:
- 传统的风险溢出措施经常与非线性依赖结构作斗争.
- 评估金融传染需要能够捕捉因果关系和尾巴协同运动的方法.
- 现有的参数方法可能容易受到市场不规则的影响.
研究的目的:
- 在时间序列框架中开发一种新的非参数方法来评估风险溢出效应.
- 引入一个新的措施,非线性CoVaR (NCoVaR),用于横截面条件尾部协同运动.
- 调整NCoVaR用于传染分析,包括格兰杰因果关系,并开发正式的非参数测试.
主要方法:
- 显式非参数测量横截面条件尾部协同运动 (NCoVaR).
- 适应NCoVaR进行格兰杰因果关系分析.
- 基于U统计的独立性和格兰杰非因果关系的正式非参数测试的构建.
- 使用欧元区主权和银行部门数据的实证说明.
主要成果:
- 拟议的NCoVaR捕捉了高度非线性依赖结构.
- 与模拟中的参数对应物相比,非参数测试显示出优越的尺寸和功率特性.
- 该方法有效评估主权和银行部门之间的风险转移.
- 与参数类型相比,新措施对市场不规则的敏感性较小.
结论:
- 开发的非参数方法为分析风险溢出效应和传染提供了强大的框架.
- NCoVaR和相关测试可以更清楚地了解主权银行风险反循环,特别是在波动性市场.
- 这种方法通过提供更可靠的系统风险洞察力来增强金融风险管理.
关键词:
C1 一个人的心态金融风险 金融风险 金融风险G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1 G1十国集团 (G20) 是一个二十国集团.G32 G32 G32 是一个字母.一般格兰杰因果关系.非参数性试验是指非参数性试验.更多相关视频
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