沪深股市厚尾特征及VaR估计  

Heavy Tail Characteristics and VaR Estimation of the Stock Markets in Shanghai and Shenzhen

作　　者：郭燕湄[1] 廖昕[1] 彭作祥[1] 

机构地区：[1]西南大学数学与统计学院,重庆400715

出　　处：《西南师范大学学报（自然科学版）》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

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.

关 键 词：广义PARETO分布 尾指数 风险值估计 

分 类 号：F064.1[经济管理—政治经济学] O211.4[理学—概率论与数理统计]