摘要
在极值理论中POT模型的框架下,对阈值选择的传统Hill估计方法进行改进,针对传统Hill估计方法中所存在的平稳性界定与拐点选择的问题,提出借助变点理论中拐点的选择来定量选取阈值,减少因主观判断所引起阈值选取存在的误差。实证结果表明,通过此方法选取的阈值基本符合我国股票市场的运行情况,显示出一定的预警作用。并将此方法应用到证券市场风险价值的估算中,提高了估算精度。
Based on the framework of the POT model of extreme value theory,the traditional Hill estimation method is improved in this paper.Owing to the problem of the definition of stability and selecting changing point,we put forward a method of selecting threshold quantitatively by the choice of changing point of the changing point theory and reducing the error caused by the subjective judgment in the process of selecting threshold.The empirical results show that the method of selecting threshold value corresponds with the basic operation in Chinese stock market,and reveals certain warning role.And the method is also used to estimate the risk value at the security market,thus improving the accuracy of estimation.
出处
《中国海洋大学学报（社会科学版）》
CSSCI
2012年第3期42-46,共5页
Journal of Ocean University of China(Social Sciences)
基金
教育部人文社会科学研究规划基金项目"金融不稳定指标体系及其对宏观经济影响的测度模型研究"(11YJA790156)
山东省自然基金项目"金融不稳定对山东经济影响测度及优化分析"(ZR2009HM017)
关键词
Hill估计
拐点
风险价值
Hill estimation
changing point
value at risk
