| 多元t分布的尾部性质及其在股票市场的应用 |
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| 引用本文： | 安文莹.多元t分布的尾部性质及其在股票市场的应用[J].贵州工业大学学报(社会科学版),2008(1). |
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| 作者姓名： | 安文莹 |
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| 作者单位： | 同济大学数学系 上海 |
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| 摘 要： | 研究多元t分布的厚尾性和尾部相依性,并用股票市场的真实数据来估计尾部相依系数,从而说明在金融市场尤其是股票市场中,用多元t分布来模拟数据比用多元正态分布更合理。
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| 关 键 词： | 多元t分布 厚尾分布 尾部相依 |
Tail Property of the Multivariate T-Distributions and the Application in Stock Market |
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| AN Wen-ying.Tail Property of the Multivariate T-Distributions and the Application in Stock Market[J].Journal of Guizhou University of Technology(Social Science Edition),2008(1). |
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| Authors: | AN Wen-ying |
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| Institution: | AN Wen-ying (Department of Mathematics; Tongji University; Shanghai; 20092 China); |
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| Abstract: | We study the properties of the fat tails and tail dependency of the multiva iate t-distribu- tions,and estimate the coefficient of tail dependency using the real data in stock market.It shows that it is better to simulate the data in the financial market by using the model of multivariate t-distribu- tions than multi-normal distributions. |
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| Keywords: | multivariate t-distribution the distributions of fat tails tail dependency |
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