POT model based on kurtosis and its empirical study on extreme risk of Chinese stock markets
基于峰度法的POT模型对沪深股市极端风险的度量

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...