%0 Journal Article
%T An Empirical Detection to the Fat-Tail Distribution of the Returns in Shanghai Securities Exchange<br>关于上海股市收益厚尾性的实证研究
%A ZHU Guo qing
%A ZHANG Wei
%A CHENG Bo
%A <br>朱国庆
%J 系统工程理论与实践
%D 2001
%I 
%X Based on the extreme value theory, with the peak over threshold, this paper studies about the fat\|tail distribution of market return in Shanghai Securities Exchange. We employ the Sample Mean Excess Function as diagnostic tool, and conduct fitted detection to the fat-tail distribution through GPD(generalized pareto distribution) model. We estimate the risk and get the quantile of the return of the stock market.
%K Shanghai securities exchange return
%K the sample mean excess function
%K fat-tail distribution
%K POT
%K GPD<br>上海股市收益
%K 样本平均超限函数
%K 厚尾性
%K 高限峰值法
%K 广义帕雷托分布
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=0C5235CA35245E9D&yid=14E7EF987E4155E6&vid=659D3B06EBF534A7&iid=E158A972A605785F&sid=09ABD5535D9B6D45&eid=B9704B40A4225A24&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=25&reference_num=5