RLR Observed RM-R True 图4资本资产定价模型 7.总结 我们对创业公司的风险投资数据对我们的模型进行估计。结果表明由选择过程引起的误 差十分显著。对这一误差的校正会使得截距变小，风险变大。我们的模型建立的估值的观测 值之间未观测估值的路径。由于未观测值和选择变量数量巨大，模型很难用数值分析的方法 估计。我们使用了贝叶斯估计方法，运用了Gibbs抽样法和Kalman过滤法，使得这一模型 易于研究并有较好的稳定性。 在房地产市场和对冲基金领域，也会出现估值的不连续性和内在联系性。本文介绍的方 法可经过一些修改后用于这两个领域的研究。 参考文献 [1]Korteweg,Arthur,and Morten Sorensen."Risk and return characteristics of venture capital- backed entrepreneurial companies."Review of Financial Studies 23.10(2010):3738-3772. [2]Jackel P,Bubley R.Monte Carlo methods in finance[M].J.Wiley,2002 [3]Glasserman P.Monte Carlo methods in financial engineering[M].Springer,2004. [4]JHuynh H T,Lai VS,Soumare I.Stochastic Simulation and Applications in Finance with MATLAB programs [M J[J].John Wiley&amp,2008. [5]Albert J H,Chib S.Bayesian analysis of binary and polychotomous response data[J].Journal of the American statistical Association,1993,88(422):669-679. [6]Amemiya T.Advanced econometrics[M].Harvard university press,1985. [7]Anderson B,Moore J B.Optimal filtering[J].Prentice-Hall Information and System Sciences Series,Englewood Cliffs:Prentice-Hall,1979,1979,1. [8]Andrews D WK,Schafgans M MA.Semiparametric estimation of the intercept of a sample selection model[J].The Review of Economic Studies,1998.65(3):497-517. [9]Campbell JY.The econometrics of financial markets[M].princeton University press,1997. [10]Carter CK,Kohn R.On Gibbs sampling for state space models[J].Biometrika,1994,81(3):541- 553图 4 资本资产定价模型 7. 总结 我们对创业公司的风险投资数据对我们的模型进行估计。结果表明由选择过程引起的误 差十分显著。对这一误差的校正会使得截距变小，风险变大。我们的模型建立的估值的观测 值之间未观测估值的路径。由于未观测值和选择变量数量巨大，模型很难用数值分析的方法 估计。我们使用了贝叶斯估计方法，运用了 Gibbs 抽样法和 Kalman 过滤法，使得这一模型 易于研究并有较好的稳定性。 在房地产市场和对冲基金领域，也会出现估值的不连续性和内在联系性。本文介绍的方 法可经过一些修改后用于这两个领域的研究。 参考文献 [1] Korteweg, Arthur, and Morten Sorensen. "Risk and return characteristics of venture capital￾backed entrepreneurial companies." Review of Financial Studies 23.10 (2010): 3738-3772. [2] Jäckel P, Bubley R. Monte Carlo methods in finance[M]. J. Wiley, 2002. [3] Glasserman P. Monte Carlo methods in financial engineering[M]. Springer, 2004. [4] JHuynh H T, Lai V S, Soumare I. Stochastic Simulation and Applications in Finance with MATLAB programs [M J[J]. John Wiley&amp, 2008. [5] Albert J H, Chib S. Bayesian analysis of binary and polychotomous response data[J]. Journal of the American statistical Association, 1993, 88(422): 669-679. [6] Amemiya T. Advanced econometrics[M]. Harvard university press, 1985. [7] Anderson B, Moore J B. Optimal filtering[J]. Prentice-Hall Information and System Sciences Series, Englewood Cliffs: Prentice-Hall, 1979, 1979, 1. [8] Andrews D W K, Schafgans M M A. Semiparametric estimation of the intercept of a sample selection model[J]. The Review of Economic Studies, 1998, 65(3): 497-517. [9] Campbell J Y. The econometrics of financial markets[M]. princeton University press, 1997. [10] Carter C K, Kohn R. On Gibbs sampling for state space models[J]. Biometrika, 1994, 81(3): 541- 553