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在极值理论广义极值分布模型的基础上,对上证指数日回报率的极值作了实证研究.给出了近两年间出现的极值的概率与等待时间,为风险的度量提供了量化的依据.
Based on the extreme value theory of extremum theory, this paper makes an empirical study on the daily return of the Shanghai Composite Index, gives the probability and waiting time of extreme values in the last two years, and provides a quantitative measure of risk The basis.