基于二阶扩展形式的金融资产回报“厚尾”分布形状参数矩估计阶的推广  

The Moment Estimates Order Promotion of the Financial Asset Returns ″Fat Tail″ Distribution Shape Parameter Based on Second Order Expansion Form

作　　者：桂文林[1] 伍超标[2] 

机构地区：[1]惠州学院数学系,惠州516007 [2]暨南大学统计系,广州510632

出　　处：《数学的实践与认识》2007年第4期55-61,共7页Mathematics in Practice and Theory

基　　金：惠州学院科研基金资助项目(C206.0107)

摘　　要：在金融资产回报“厚尾”分布一、二阶扩展形式的基础上,建立起形状参数及阀值与V aR之间的关系.为此,我们引入了形状参数的矩估计原理和阀值选取的H a ll自助法.代入最优阀值的渐近均方误差为我们提供了形状参数矩估计阶的选择依据.从而,将实践中只计算形状参数的一、二阶矩估计进行了有效的推广.On the basis of one or second order expansion form satisfied by financial asset returns ＂fat tail＂ distribution. This paper build the relationship between shape parameter, threshold and VaR （value at risk）. So, we introduced the principles of shape parameter moment estimates and Hall bootstrap to select threshold. Generation into the optimal threshold AMSE （asymptotic mean squared error） provide options for moment estimates order of shape parameter. Thus, the practice will only calculate one or the second order moment estimates of the shape parameter for the effective promotion.

关 键 词：形状参数 VaR 矩估计 自助法 金融资产 

分 类 号：F830[经济管理—金融学] F224