摘要
本文较为详细地介绍了稳定分布的一些基本性质,并通过股票指数收益率的稳定化PP图和直方图发现其具有高峰厚尾特征.统计分析表明。用稳定分布去刻画收益率分布的比其它分布更加有效.最后介绍了稳定分布在金融风险度量应用中的有效性.
This paper introduces the some basic properties of Stable distributions. It is found from histograms and stablized PP plots of some stock-index return data that theirs distributions have a high-Kurtosis and fat-tail characteristic. It is shown from empirical study that stable distributions show more efficiency than others distribution for the return series. Finally, an application is carried out showing the efficiency of stable distributions in risk valuation of finance.
出处
《应用概率统计》
CSCD
北大核心
2007年第4期434-445,共12页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学(10571057).
