Extreme value theory can describe the heavy tail characteristics of finance data more exactly. We took HSBC Holdings in Hong Kong as an example, gave the data analysis by the method of POT as follows: chose the threshold of the data series, modelinged the sample data excess the threshold whose limit converges to the distribution of GPD, estimated parameters , test the reasonability and gave the VAR under 95% confidence level.
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王晓辉,庄亮亮. 极值理论下的香港汇丰控股VaR实证分析[J]. 科学技术与工程, 2011, (16): . wangxiaohui, zhuangliangliang. VaR Analysis of HSBC Holdings in Hong Kong based on Extreme Value Theory[J]. Science Technology and Engineering,2011,(16).