介绍一种二元阈值方法在股票指数上的应用

Bivariate extrems methods in the stock profit

二元极值的阈值方法的一个发展是用来考虑两个变量的联合分布。这个方法是建立在二元极值的点过程表示法的基础上。本文用参数 (Logistic模型 )和非参数模型对 1992 1999年的上海、深圳日收盘指数对数收益进行分析并给出分析结果。

An extension of the threshold method for extreme values is developed to consider the joint distribution of extremes of two variables. The methodology is based on the point process representation of bivariate extremes. Both parametric and nonparametric models are considered. The techniques are illustrated with data on 1992-1999's log profit of intra-daily close price on the Shanghai and Shenzhen Stock Market. We show that this method gives better estimates than traditional methods. This result proves that the Bivariate Threshold Methods for Extreme has a promising future in finance and has a wide application prospect.