PERSISTENCE OF FINANCIAL RISK

摘要：

This paper presents a new method for discussing persistence of financial risk based on volatility impulse response function. The new definition of volatility persistence and common persistence is established. Further more, the corresponding topics are introduced into the area of nonlinear common persistence through wavelet neural network. The proposed methods here are easy to be conducted, and can be extended to discuss the persistence of higher moments risk.The empirical results show that there exists volatility persistence in Chinese stock markets, which can not be removed by linear combination. However, based on wavelet neural network, a nonlinear combination is found to reduce the volatility persistence. This phenomenon is defined as nonlinear common persistence, which is very helpful in understanding of portfolios investigation.

关键词： Volatility persistence common persistence volatility impulse response function wavelet neural network nonlinear

作者: CUI-XIA JIANG SHI-YING ZHANG

作者单位: School of Management, Tianjin Unversity, Tianjin 300072, China

会议类型: 国际会议

会议名称: 2006 International Conference on Machine Learning and Cybernetics(IEEE第五届机器学习与控制论坛)

会议地点: 大连

会议语种:英文

页码: 2345-2350

在线出版日期: 2006-08-13（万方平台首次上网日期，不代表论文的发表时间）