%0 Journal Article
%T POT model based on kurtosis and its empirical study on extreme risk of Chinese stock markets<br>基于峰度法的POT模型对沪深股市极端风险的度量
%A HUA Yong-jun
%A ZHANG Zong-yi
%A <br>花拥军
%A 张宗益
%J 系统工程理论与实践
%D 2010
%I 
%X To revise the shortage of VaR model which assumes sequence is normal distribution,this paper employs POT model based on kurtosis method to estimate extreme risk,which amend the limitation of sample mean excess function method.The empirical experiment on Chinese stock markets show that the raising limit influence the result of POT model,POT model is effective to study sequences with fat tail under lower or higher confidence level before raising limit operated,and POT model is more effective under higher conf...
%K POT model
%K GPD
%K value-at-risk
%K expected shortfall<br>阈值模型
%K 广义帕累托分布
%K 在险价值
%K 期望损失
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=A42B9B79B07EC07E65BB6E172BFBFD13&yid=140ECF96957D60B2&vid=340AC2BF8E7AB4FD&iid=94C357A881DFC066&sid=CFBDB06850C21CC6&eid=6920A1020E13BE87&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=21