厚尾金融数据的计量分析被引量：4

Quantitative Analysis on Fat-tail Financial Data

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摘要近年来一些研究者将实测数据与正态分布进行比较后认为,实测数据分布的尾部往往厚于正态分布的尾部。本文讨论了金融数据正态性假设的检验问题,并利用正态化变换给出了厚尾金融数据的计量分析方法。

作者肖庆宪

机构地区上海理工大学管理学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2003年第5期116-119,共4页 Journal of Quantitative & Technological Economics

关键词厚尾金融数据计量分析金融数据正态性假设正态化变换金融计量学分析方法正态分布密度函数双曲分布逆高斯分布

参考文献9

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数量经济技术经济研究

2003年第5期

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