摘要
用二元极值理论对沪深股市联合分布的尾部特征进行了研究。把一种新的极值Copula函数—t-EV-copula应用于二元极值理论。t-EV-copula与Gumble copula的比较分析表明:t-EV-copula不仅能很好地模拟极值数据,而且能够准确的捕捉到上尾、下尾变化;由二元极值理论得到基于t-EV-copula的沪深股市联合分布尾部的二元分布函数并作分布函数图。最后,用VaR作为风险度量进一步描述了联合分布的尾部特征。
The bivariate extreme value theory is applied to research the heavy-tail characteristic of the joint distribution for the Shanghai and Shenzhen stock markets. A new extreme copula——t-EV-copula, compared with the Gumble copula, not only simulate the extreme data very well, but also can catch the upper dependence and the lower dependence, then obtain the function of the tail joint distribution based on the t- EV-copula and it's figure is also obtained. At last is used VaR as the risk measure to describe the tail character of the joint distribution.
出处
《系统管理学报》
北大核心
2007年第1期36-39,共4页
Journal of Systems & Management
基金
国家自然科学基金资助项目(79970022)
航空科学基金资助项目(02J53079)
陕西省自然科学基金
关键词
连接函数
二元极值理论
尾部相关系数
风险价值
copula
bivariate value extreme theory
tail dependence coefficients
value-at-risk