价值工程
價值工程
개치공정
VALUE ENGINEERING
2013年
7期
155-156
,共2页
风险体系%波动性%有效性
風險體繫%波動性%有效性
풍험체계%파동성%유효성
risk system%fluctuation%effectiveness
本文通过对航运市场风险体系的文献综述可以看出,目前针对集装箱航运市场、干散货航运市场和油轮市场波动性和有效市场的量化模型研究成果显著.但是,考察航运金融市场流动性、信息溢出效应、风险联动,以及高频数据下的波动率长记忆性、波动率测度、高频数据下尾部相关性研究和分析还远落后于实践,需要进一步展开研究.
本文通過對航運市場風險體繫的文獻綜述可以看齣,目前針對集裝箱航運市場、榦散貨航運市場和油輪市場波動性和有效市場的量化模型研究成果顯著.但是,攷察航運金融市場流動性、信息溢齣效應、風險聯動,以及高頻數據下的波動率長記憶性、波動率測度、高頻數據下尾部相關性研究和分析還遠落後于實踐,需要進一步展開研究.
본문통과대항운시장풍험체계적문헌종술가이간출,목전침대집장상항운시장、간산화항운시장화유륜시장파동성화유효시장적양화모형연구성과현저.단시,고찰항운금융시장류동성、신식일출효응、풍험련동,이급고빈수거하적파동솔장기억성、파동솔측도、고빈수거하미부상관성연구화분석환원락후우실천,수요진일보전개연구.
This paper gives a literature review of the shipping market risk system for the container shipping market, the quantitative model of the dry bulk shipping market and the tanker market volatility and effective market research significantly. However, to study the shipping finance market liquidity, information spillovers risk linkage, as well as the long memory of the volatility in the high-frequency data volatility measures, high-frequency data, research and analysis of tail dependence is far from lagging behind the practice which needs further research.
