| 非参数方法在沪深股市收益率分布的应用 |
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| 引用本文： | 陈娟.非参数方法在沪深股市收益率分布的应用[J].温州大学学报(社会科学版),2005,18(3):22-27. |
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| 作者姓名： | 陈娟 |
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| 作者单位： | 浙江工商大学数量经济系，浙江杭州310035 |
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| 摘 要： | 沪深大盘指数的收益率分布函数并小服从通常人们所认为的正念分布。本采用一种新的方法——非参数核密度估计，对大盘指数的收益率分布函数进行研究。这种新方法不仅很好地刻画了收益率分布的尖峰和肥尾特征，而且比一股的正态分布更能捕捉市场的风险特征，结论也更加准确。
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| 关 键 词： | 收益率 非参数估计 核密度函数 窗宽 |
| 文章编号： | 1008-309(2005)03-0022-05 |
| 修稿时间： | 2004年11月22 |
Application of Nonparametric Method in the Returns Distributions in Shanghai and Shenzhen Stock Markets |
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| CHEN Juan.Application of Nonparametric Method in the Returns Distributions in Shanghai and Shenzhen Stock Markets[J].Journal of Wenzhou University,2005,18(3):22-27. |
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| Authors: | CHEN Juan |
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| Abstract: | This paper has studied the returns distributions in Shanghai and Shenzhen stock markets. The results indicate that the returns distributions are not normal distributions. Therefore, the author uses a new way--nonparametric kernel density estimators, to estimate the returns distributions of stocks. By the new estimators, we research the returns distributions and get the new results. The way is very useful at depicting the characteristics of sharp peaks and fat tails of returns distributions. |
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| Keywords: | Returns Nonparametric estimator Kernel density function Bandwidth |
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