摘要
对股市收益厚尾性进行了研究 ,基于极值理论利用高限峰值法 POT( Peak Over Threshold)方法以样本平均超限 ( The Sample Mean Excess Function)函数为工具 ,通过 GPD( Generalized ParetoDistrbution)模型 ,对股市收益分布尾部进行拟合探讨 ,由此给出股市收益分布尾部估计 。
Based on the extreme value theory, with the peak over threshold, this paper studies about the fat\|tail distribution of market return in Shanghai Securities Exchange. We employ the Sample Mean Excess Function as diagnostic tool, and conduct fitted detection to the fat-tail distribution through GPD(generalized pareto distribution) model. We estimate the risk and get the quantile of the return of the stock market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2001年第4期70-73,87,共5页
Systems Engineering-Theory & Practice
基金
"九五"重大自然科学基金! ( 7971 3 0 0 7)
国家教育部跨世纪优秀人才基金! ( 96-1 70 )
关键词
上海
股市收益厚尾性
高限峰值法
极值理论
证券交易
Shanghai securities exchange return
the sample mean excess function
fat\|tail distribution
POT
GPD
