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。
Given an estimate for tail index, we can establish extreme return levels which is useful to investors to control the risk.
正规变化重尾分布的尾部指数的估计方法有很多种,但都不同程度地存在一定的局限性。
The estimation of tail index for regular variation heavy-tailed distributions aroused our concern, many scholars proposed several methods, but all of them have some disadvantages.
分布的尾部特征分析在许多领域都非常重要,估计和分辨尾部服从幂律特征还是指数特征非常重要。
It is important to analyze the tail behavior of distributions in many areas, and there is a controversy about distinctions between exponential-type and power-type tails.
再利用计算机模拟股票价格收益率的分布特征,模型很好的刻画了现实证券市场中股票收益率分布的宽尾现象、长记忆性,以及累积分布中尾部收益的指数递减现象。
We investigate the fluctuation of price process in a stock market with Ising model and the mean field theory, and construct the corresponding random logarithmic price returns process.
再利用计算机模拟股票价格收益率的分布特征,模型很好的刻画了现实证券市场中股票收益率分布的宽尾现象、长记忆性,以及累积分布中尾部收益的指数递减现象。
We investigate the fluctuation of price process in a stock market with Ising model and the mean field theory, and construct the corresponding random logarithmic price returns process.
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