摘要
本文研究如何用较好的方法选择一个适当的阈值,计算尾部指标的H ill估计,然后加以比较,并以美元对日元的汇率为例,说明方法的使用.
How to select an adaptive threshold in an optimal way from a particular set of data at hand is a delicate matter. This paper computes the Hill estimators for the extreme value indices of daily exchange rate returns of the U. S. dollar relative to yen with different threshold selection methods which are then compared.
出处
《天津理工大学学报》
2006年第6期78-81,共4页
Journal of Tianjin University of Technology
