Journal of University of Chinese Academy of Sciences >
Using the Improved Hill Estimator Model to Evaluate VaR
Received date: 2003-04-03
Revised date: 2003-06-02
Online published: 2004-05-10
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.
YE WuYi , MIAO BaiQi . Using the Improved Hill Estimator Model to Evaluate VaR[J]. Journal of University of Chinese Academy of Sciences, 2004 , 21(3) : 305 -309 . DOI: 10.7523/j.issn.2095-6134.2004.3.003
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