A New Exploring: Definition and Measurement of Financial Risk-Based on Wavelet Analysis

	A New Exploring: Definition and Measurement of Financial Risk-Based on Wavelet Analysis
	Han Haibo
	2009
会议名称	RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II
会议录名称	AUSSINO ACAD PUBL HOUSE
页码	249-252
会议日期	JUL 24-29, 2009
会议地点	Qingdao, PEOPLES R CHINA
出版地	PO BOX 893, MARRICKVILLE, NSW 2204 00000, AUSTRALIA
出版者	AUSSINO ACAD PUBL HOUSE
摘要	There are two important concept in traditional field of financial risk defining and measuring. That is the degree of loss or volatility of return and the occurred probability of them. However we ignore one fact. Usually we think that two assets have same risk if their variance of return were same. On the other hand, does this mean that an asset has more risk whose frequency of return volatility is higher? We should research this problem practically. Traditional measuring method of financial risk focus on the timely changing characteristics of variance or the calculating of volatility amplitude. This method can't estimate the frequency of volatility. This paper tries to analyze the timely changing characteristics of frequency using wavelet analysis and give a new concept of financial risk.
关键词	Financial Risk Wavelet Analysis Timely Changing Characteristics Measurement
URL	查看原文
收录类别	CPCI ; CPCI-S
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Statistics & Probability
WOS记录号	WOS:000276338200043
原始文献类型	Proceedings Paper
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	会议论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/9888
专题	统计与数据科学学院
作者单位	Lanzhou Commercial Coll, Sch Stat, Lanzhou 730020, Peoples R China
推荐引用方式 GB/T 7714	Han Haibo. A New Exploring: Definition and Measurement of Financial Risk-Based on Wavelet Analysis[C]. PO BOX 893, MARRICKVILLE, NSW 2204 00000, AUSTRALIA:AUSSINO ACAD PUBL HOUSE,2009:249-252.