基于价格极差-arma-garch-pot模型的风险价值研究

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1、分类号：O212.7密级：学校代码：10638学号：313070103003硕士学位论文基于价格极差-ARMA-GARCH-POT模型的风险价值研究论文作者蔡丽指导教师冯长焕教授学科专业概率论与数理统计申请学科门类理学硕士所在学院数学与信息学院论文提交日期二〇一六年四月论文答辩日期二〇一六年五月西华师范大学学位评定委员会四川·南充二〇一六年五月TheEmpiricalAnalysisofUnivariateTimeSeriesAResearchoftheValueatRiskBasedonPriceRange-ARMA-GARCH-POTModelADissertationSu

2、bmittedtotheGraduateFacultyInPartialFulfillmentoftheRequirementFortheDegreeofMasterofNaturalScienceByCAILiSupervisedbyProfessorFENGChang-huanMajorinProbabilityandstatisticsInDepartmentofMathematicsandInformationChinaWestNormalUniversityNanchong,SichuanProvince,ChinaMay,2016目录目录摘要............

3、.......................................................................................................................IAbstract..............................................................................................................................II第1章前言...............................

4、.......................................................................................11.1本文研究的背景和意义............................................................................................11.1.1研究背景.........................................................................................

5、..........11.1.2研究意义...................................................................................................21.2国内外文献综述.................................................................................................21.2.1国外文献综述.....................................................

6、.....................................21.2.2国内文献综述..........................................................................................41.3本文的创新点.....................................................................................................51.4本文的研究方法和研究内容..........................

7、..................................................61.4.1研究方法...................................................................................................61.4.2研究的主要内容............................................................................