基于多標度分形理論的金融資產(chǎn)收益非對稱性測度方法研究

摘要： 本文基于多標度分形理論,提出了一種新的更適用于實際金融資產(chǎn)收益數(shù)據(jù)的非對稱性測度方法:兩階段非對稱性檢驗法,并運用Monte Carlo模擬考察了其與傳統(tǒng)的偏度系數(shù)檢驗法的非對稱性判定結論差異。實證結果表明,總體來講,本文提出的兩階段非對稱性檢驗法在常用檢驗水平下取得了較偏度系數(shù)法更為準確的金融資產(chǎn)收益非對稱性判定結論,且兩階段非對稱性檢驗法較偏度系數(shù)法更適用于具有非獨立、非正態(tài)特性數(shù)據(jù)的非對稱性檢驗。
Asymmetry in financial asset returns is not only one factor should be considered in asset pricing and portfolio selection,but also relative to risk measurement and derivatives pricing.In traditional study,the common approach to test asymmetry in asset return distributions is using the coefficient of skewness defined as the standardized third central moment.However,when using the coefficient of skewness to test asymmetry,the key is to make the conclusion right and that not only asset prices should be independent of each other,but also the asset return should obey normal distribution should consider effectively.In this paper,a new asymmetry test based on multifractal theory,two-step asymmetry testing,is proposed.A Monte Carlo study shows that the test is competitive with coefficient of skewness test in common significance levels generally and that TAT testing works more properly for dependent and non-normal data.