GP分布模型与股票收益率分析

北京大学学报（自然科学版）

GP分布模型与股票收益率分析

潘家柱¹,丁美春²

收稿日期:1999-07-07 出版日期:2000-05-20 发布日期:2000-05-20

Generalized Pareto Distribution and Analysis of Stock Price Returns

PAN Jiazhu¹, DING Meichun²

¹Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing, 100871;

Received:1999-07-07 Online:2000-05-20 Published:2000-05-20

摘要/Abstract

摘要： 讨论了GP分布模型的某些性质，利用此模型对上证指数、深证指数和2家公司股票价格的收益率进行分析，给出股票指数和价格极值波动程度的量化指标和风险值(VaR)的估计值。

关键词: GP分布, 收益率, 尾指数, 风险值, 资本损失系数

Abstract: Some properties of the generalized Pareto distribution are discussed. Then GP model is used to analyze the returns to Shanghai stock index, Shenzhen stock index and the stock prices of two specific companies. A quantitative indicator of extreme changes in stock index and stock price is mentioned. The estimation of Value-at-Risk is also discussed.

Key words: Generalized Pareto distribution, returns, tail index, value at risk, capital-loss coefficient

中图分类号:

潘家柱,丁美春. GP分布模型与股票收益率分析[J]. 北京大学学报（自然科学版）.

PAN Jiazhu,DING Meichun. Generalized Pareto Distribution and Analysis of Stock Price Returns[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

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https://xbna.pku.edu.cn/CN/Y2000/V36/I3/295