| 关于上海股市指数日收益尾部的实证研究 |
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| 引用本文： | 王靖,WANG Jing.关于上海股市指数日收益尾部的实证研究[J].佛山科学技术学院学报(自然科学版),2009,27(3):34-36. |
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| 作者姓名： | 王靖 WANG Jing |
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| 作者单位： | 电子科技大学,应用数学学院,四川,成都,610054 |
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| 摘 要： | 基于极值理论（EVT）方法,利用平均超出量函数,结合判断阈值u改变引起参数估计量的变化,找出合适的阈值,建立了上海股市综合指数极端日收益率的广义帕累托模型（GPD）。
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| 关 键 词： | 极值理论 帕累托分布 阈值 |
An empirical detection to tail of the log-daily returns in Shanghai stock market |
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| WANG Jing.An empirical detection to tail of the log-daily returns in Shanghai stock market[J].Journal of Foshan University(Natural Science Edition),2009,27(3):34-36. |
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| Authors: | WANG Jing |
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| Institution: | School of Applied Mathematics;University of Electronic Science and Technology;Chengdu 610054;China |
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| Abstract: | Based on the extreme value theory,the paper makes use of the mean excess function,combining with judging change of threshold u which influences the estimation of the parameters,and finds suitable threshold u.Generalized Pareto distributions for extreme Log-daily returns of Shanghai stock market are modeled by using extreme value theory. |
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| Keywords: | extreme value theory generalized Pareto distribution threshold |
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