| 深圳成分指数与上海综合指数的稳定分布 |
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| 引用本文： | 刘喜华,韩其恒.深圳成分指数与上海综合指数的稳定分布[J].数理统计与管理,2007,26(2):341-345. |
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| 作者姓名： | 刘喜华 韩其恒 |
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| 作者单位： | 1. 青岛大学经济学院,山东,青岛,266071
2. 上海财经大学金融学院,上海,200433 |
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| 摘 要： | 本文利用最大似然估计法与特征变换法分别对深圳成分指数(SZSI)与上海综合指数(SHCl)的日收益率分布进行了稳定分布的拟合,并进行了比较,验证了SZSI与SHCI日收益率序列的尖峰厚尾现象。
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| 关 键 词： | 深圳成分指数 上海综合指数 稳定分布 最大似然估计法 特征变换法 |
| 文章编号： | 1002-1566（2007）02-0341-05 |
| 修稿时间： | 2005-09-09 |
The Stable Distributions of SZSI and SHCI |
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| LIU Xi-hua,HAN Qi-heng.The Stable Distributions of SZSI and SHCI[J].Application of Statistics and Management,2007,26(2):341-345. |
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| Authors: | LIU Xi-hua HAN Qi-heng |
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| Institution: | 1. Economic School, Qingdao University, Qingdao 300072, China; 2. School of Finance, Shanghai University of Economics and Finance Shanghai 200433, China |
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| Abstract: | This paper investigates the distributions of daily return of SZSI and SHCI using data analysis techniques and model fitting. Stable laws are fitted to empirical distributions using maximum likelihood estimation method and characteristic transformation estimation method. Empirical evidence supports the stable hypothesis that the distributions have tails much heavier and more peak around to the center than Gaussian counterparts. |
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| Keywords: | SZSI SHCI Stable Distribution Maximum Likelihood Characteristic Transformation |
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