| 基于点过程的极值尾部估计研究 |
| |
| 引用本文： | 张家平.基于点过程的极值尾部估计研究[J].数学的实践与认识,2010,40(3). |
| |
| 作者姓名： | 张家平 |
| |
| 作者单位： | 华侨大学经济与金融学院金融系,福建,泉州,362021;华南理工大学金融工程研究中心,广东,广州,510006 |
| |
| 基金项目： | 广东省普通高校人文社会科学重点研究基地研究创新团队项目”(08JDTDXM79006) |
| |
| 摘 要： | 极值风险,即稀少或极端事件的发生给经济主体带来巨额损失的风险是风险管理的重中之重.极值理论为极端事件的统计建模和极值风险测度的计算提供了坚实的理论基础,通过介绍和比较传统极值事件的建模,然后基于点过程拓展了POT模型(POT-PP),并利用外汇市场的日数据分析了POT-PP的拟合效果.
|
| 关 键 词： | 肥尾 分块最大值 POT 基于点过程的POT |
Estimation of Extreme Tail Distribution Basing on Point Process |
| |
| ZHANG Jia-ping.Estimation of Extreme Tail Distribution Basing on Point Process[J].Mathematics in Practice and Theory,2010,40(3). |
| |
| Authors: | ZHANG Jia-ping |
| |
| Institution: | ZHANG Jia-ping (School of Economics & Finance Huaqiao University,Quanzhou 362021,China) (Research Center of Financial Engineering South China University of Technology,Guangzhou 510006,China) |
| |
| Abstract: | Extreme risk,which is the risk brought by rare or extreme events,is a focus of risk management.Extreme theory supplies with substantial fundamentals to statistical modeling and risk measure of extreme events.This paper introduces and compares traditional modeling of extreme events,then extends POT model basing on point process and analyses the simulation effects using the daily data of foreign exchange market in China. |
| |
| Keywords: | fat tail block maxima POT POT-PP |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
