| 沪深股市大盘指数收益率分布尾部的实证研究 |
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| 引用本文： | 许冰,陈娟. 沪深股市大盘指数收益率分布尾部的实证研究[J]. 数学的实践与认识, 2006, 36(9): 49-54 |
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| 作者姓名： | 许冰 陈娟 |
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| 作者单位： | 浙江工商大学数量经济研究所,杭州,浙江,310035 |
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| 摘 要： | 通过H ill估计的改进方法对上证综合指数和深圳成分指数的收益率分布的尾部指数进行了参数估计,用χ2检验验证了指数的稳定性及其置信区间.在此基础上提出用尾部指数估计尾概率,达到风险控制的目的.实证研究表明,沪深大盘指数收益率分布具有肥尾的特征,但并不服从无限方差分布.
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| 关 键 词： | 尾部指数 尾概率 Hill估计 |
| 修稿时间： | 2004-08-05 |
The Experiment about Tails of Distribution of Return in Shanghai and Shenzhen Stock Indices |
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| XU Bing,CHEN Juan. The Experiment about Tails of Distribution of Return in Shanghai and Shenzhen Stock Indices[J]. Mathematics in Practice and Theory, 2006, 36(9): 49-54 |
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| Authors: | XU Bing CHEN Juan |
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| Abstract: | This paper apply an improve Hill estimator to estimate tail index of returns on Shanghai and Shenzhen Stocks,and we test for the stability of index and the confidence interval by χ~2-test.Given an estimate for tail index,we can establish extreme return levels which is useful to investors to control the risk.The empirical analysis indicates that the tails of returns on Shanghai and Shenzhen stocks are not enough to conform to an infinite-variance distribution. |
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| Keywords: | tail index tail probability Hill estimator |
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