沪深股市收益分布尾部特征研究  

Tail characteristics of Sanghai and Shenzhen A Stock Market Return Distribution

作　　者：刘国光[1] 王慧敏[1] 

机构地区：[1]河海大学国际工商学院,南京210098

出　　处：《数理统计与管理》2005年第3期108-112,共5页Journal of Applied Statistics and Management

摘　　要：本文运用跳跃扩散模型和极值理论方法对沪深股指收益分布特征进行了研究。跳跃扩散模型定量化地给出沪深股市股票收益分布产生的原因,沪深股市收益分布为具有胖尾的非正态分布,股票收益变动主要是由离散信息作用引起,一般帕累托分布较好地拟合股票收益左尾分布。This paper is about the study of tail-related risk on Shanghai and Shenzhen A stock Market return distribution applying jump diffusion model and extreme value method. Jump diffusion model gives a saisfactory description of the return distribution.The stock return distribution is non-normal distributed with thick tail.The volatility of stock return is mainly caused by discrete information. General Pareto distribution yields a goodness-of-fit over left tail of stock return distribution.

关 键 词：收益分布 尾部相关风险 跳跃扩散模型 极值理论 

分 类 号：O212[理学—概率论与数理统计]