论文标题
预测随着时变的波动率的长摩根返回的分布
Forecasting the distribution of long-horizon returns with time-varying volatility
论文作者
论文摘要
近年来，对长途回报的研究受到了广泛关注（例如，参见Boudoukh，Richardson和Whitelaw（2008），Neuberger（2012）和Lee（2013），Fama和French（2018））。尽管大多数讨论都涉及投资中的一些实际问题，但很少有人触及了风险管理的重要方面。本文采用的方法是预测固定长马的回报的未来分布，通过该分配的风险度量以分配功能的形式出现的风险度量，例如风险（VAR）的价值（VAR）和有条件的尾巴期望（CTE）。我们方法的特征特征，不需要对挥发性动力学或冲击分布的参数假设的规范扩展。 （2016）和HO（2017）进行了更一般的波动率动力学，其中包括广泛使用的SV模型和Garch模型（Bollerslev，1986）作为特殊情况。
The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions are concerned with some practical issues in investment, few have touched the important aspect on risk management. The approach adopted in this article is to predict the future distribution of the returns of a fixed long-horizon by which the risk measures of interest that come in the form of a distributional functional such as the value at risk (VaR) and the conditional tail expectation (CTE) can be easily derived. The characteristic feature of our approach which requires no specification of the volatility dynamics nor parametric assumptions of the shock distribution extends the work by Ho et al. (2016) and Ho ( 2017) to a more general volatility dynamics that includes both the widely-used SV model and the GARCH model (Bollerslev, 1986) as special cases.
