| 高频金融时序的密度函数肥尾度量 |
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| 引用本文： | 赵丹,耿国靖,王涛.高频金融时序的密度函数肥尾度量[J].数学理论与应用,2008,28(1):117-120. |
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| 作者姓名： | 赵丹 耿国靖 王涛 |
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| 作者单位： | 中南大学数学学院，中南大学数学学院，中南大学数学学院 长沙，410075，长沙，410075，长沙，410075 |
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| 摘 要： | 本文在分析高频金融时序的基本特征的基础上,应用极值理论和相关性质估计和检验了肥尾指数。
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| 关 键 词： | 极值理论 肥尾指数 块最大值 广义Pareto分布 |
Estimate and Test the Fat-Tail Index of High Frequency Financial Time Series |
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| Zhao Dan Geng Guojing Wang Tao.Estimate and Test the Fat-Tail Index of High Frequency Financial Time Series[J].Mathematical Theory and Applications,2008,28(1):117-120. |
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| Authors: | Zhao Dan Geng Guojing Wang Tao |
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| Institution: | Zhao Dan Geng Guojing Wang Tao (School of Mathmatics, Central South University, Changsha, 410075) |
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| Abstract: | This dissertation concentrates on modeling analyses on high fr equency financial time series.Based on the special characteristics of high frequency fin ancial time series,we use extreme value theory and related properties to estimat e and test the tail index parameter which measures the degree of fat-tailedness of distribution on high frequency financial time series. |
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| Keywords: | Extreme Value Theory Fat Tail index block maximum general P areto distribution |
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