The Stability of UK Risk Measures and The Problem of Thin Trading
研究稀疏交易市场中风险度量的估计偏差问题，证明传统方法会高估稳定性，并用英国数据验证，最后提出避免偏差的方法，发现英国风险度量与美国同样稳定。
ABSTRACT This paper examines the problems of estimating risk measures and their stability in thin markets. It shows analytically that conventional approaches used in previous studies can lead to serious overestimates of the stability of risk measures when shares are subject to thin trading. It then demonstrates, using UK data, that this is, in fact, a serious practical problem, and that the resultant biases are of precisely the form predicted. Finally, the paper presents reliable evidence on the stability of UK risk measures by using an estimation method designed to avoid thin trading bias. Using this approach, risk measures are found to be as stable in the UK as they are in the USA.