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.
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.
出处
《西南师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2012年第5期102-106,共5页
Journal of Southwest China Normal University(Natural Science Edition)
基金
重庆市社会科学规划项目(2007-JJ10)
重庆市高校人才基金项目(120060-20600204)资助
关键词
广义PARETO分布
尾指数
风险值估计
generalized pareto distribution tail index value-at-risk estimation
