我院朱东明老师论文在世界顶级计量杂志Journal of Econometrics发表
2009-04-13 19:34:00
【汇通社讯】我院朱东明博士在Journal of Econometrics2009第148期上发表了题为“Properties and estimation of asymmetric exponential power distribution”的文章。
文章提出了一类新的分布函数(AEPD)，并讨论了该类分布函数的性质和参数估计，以及可能的应用。文章特别探讨了AEPD在风险管理和金融计量中的应用。
Journal of Econometrics于1973年发行，现是世界计量经济学顶级学术杂志。朱东明老师论文的发表显示了我院教师学术研究方面具有国际水准。
以下是文章摘要：
The new distribution class, Asymmetric Exponential Power Disribution (AEPD), proposed in this
paper eneralizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in
addition to skewness introduces different decay rates of density in the left and right tails. Our
parametrization provides an interpretable role for each parameter. We derive moments and
moment-based measures: skewness, kurtosis, expected shortfall. It is demonstrated that a
maximum entroy property holds fo the APED distributions. We establish consistency,
asymptotic normality and efficiency of the maximum likelihood estimators over a large part of
the parameter space by dealing with the problems created by non-smooth likelihood function
and derive explicit analytical expressions of the asymptotic covariance matrix; where the
results apply to the SEPD class they enlarge on the current literature. Also we give a
convenient stochastic representation of the distribution;our Monte Carlo study illustrates the
theoretical results. We also provide some empirical evidence for the usefulness of employing
APED errors in GARCH type models for predicting downside market risk of financial assets.
——朱东明博士——
北京大学经济学副教授
最高学历：加拿大麦吉尔大学经济学博士
现任职务 北京大学汇丰商学院副教授
研究领域 经济计量理论, 金融市场计量，风险管理
主要论文
1. Properties and estimation of asymmetric exponential power distribution，(with Victoria Zinde-Walsh), Journal of Econometrics, forthcoming.
2. A fully asymmetric Student-t distribution, with applications in financial econometrics (with John W. Galbraith), submitted to Journal of Econometrics.
3. Asymmetric parametric distributions: A procedure and an example, submitted to Economics Letters.
4. New classes of generalized extreme value distributions, working paper.
5. Properties and estimation of asymmetric generalized t distribution, working paper.
(刘芷冰 赵博 报道)
