收稿日期: 2003-04-03
修回日期: 2003-06-02
网络出版日期: 2004-05-10
基金资助
国家自然科学基金 (10071082);教育部博士点基金;中国科学院和中国科学技术大学创新基金资助
Using the Improved Hill Estimator Model to Evaluate VaR
Received date: 2003-04-03
Revised date: 2003-06-02
Online published: 2004-05-10
叶五一 , 缪柏其 . 应用改进Hill估计计算在险价值[J]. 中国科学院大学学报, 2004 , 21(3) : 305 -309 . DOI: 10.7523/j.issn.2095-6134.2004.3.003
One improved Hill estimator using GLS(general least squares) is introduced, which overcomes some defects of Hill estimator, and is used to evaluate VaR. The VaR of index of Shanghai Composite, Hang seng, Dow Jones, Nasdaq, Nikkei are estimated and compared, and a simple analysis of the result is given.
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