| 沪深股市厚尾特征及VaR估计 |
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| 引用本文： | 郭燕湄,廖昕,彭作祥. 沪深股市厚尾特征及VaR估计[J]. 西南师范大学学报(自然科学版), 2012, 37(5): 102-106 |
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| 作者姓名： | 郭燕湄 廖昕 彭作祥 |
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| 作者单位： | 西南大学数学与统计学院,重庆,400715 |
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| 基金项目： | 重庆市社会科学规划项目，重庆市高校人才基金 |
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| 摘 要： | 通过广义Pareto分布拟合沪深股市综合指数对数收益率的尾分布,并得到相应的VaR估计.
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| 关 键 词： | 广义Pareto分布 尾指数 风险值估计 |
Heavy Tail Characteristics and VaR Estimation of the Stock Markets in Shanghai and Shenzhen |
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| Guo Yan-mei , LIAO Xing , PENG Zuo-xiang. Heavy Tail Characteristics and VaR Estimation of the Stock Markets in Shanghai and Shenzhen[J]. Journal of southwest china normal university(natural science edition), 2012, 37(5): 102-106 |
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| Authors: | Guo Yan-mei LIAO Xing PENG Zuo-xiang |
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| Affiliation: | School of mathematics and statistics,Southwest University,Chongqing 400715,China |
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| Abstract: | In this paper the distributional tails of log-return series formed by composite indices of the stock markets in Shanghai and Shenzhen are fitted by the generalized pareto distribution,and the associated value-at-risks also are estimated. |
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| Keywords: | generalized pareto distribution tail index value-at-risk estimation |
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