[1] HILL B M. A simple general approach to inference about the tail of a distribution[J]. The Annals of Statistics, 1975:1163-1174. [2] BEIRLANT J, GOEGEBEUR Y. Regression with response distributions of Pareto-type[J]. Computational Statistics & Data Analysis, 2003, 42(4): 595-619. [3] WANG H, TSAI C L. Tail index regression[J]. Journal of the American Statistical Association, 2009, 104(487):1233-1240. [4] 陈向红. 重尾分布尾部指数的 Crovella 估计性质研究[J]. 南京工程学院学报 (自然科学版), 2008, 6(3):7-11. CHEN Xianghong.Study on property of Crovella estimation of heavy tailed distribution index[J]. Journal of Nanjing Institute of Technology (Natural Science Edition), 2008, 6(3):7-11. [5] 孙美美. 具有 GARCH 误差项的单位根模型尾部指数的区间估计[D]. 杭州: 浙江大学, 2014. [6] 庞素琳, 吴曼琪. 股指期货保证金水平设置比较研究——基于Hill及VaR-x估计法[J]. 管理科学学报, 2014, 17(6):84-96. PANG Sulin, WU Manqi. Margin level setting of stock index futures based on Hill estimation and VaR-x estimation[J]. Journal of Management Sciences in China, 2014, 17(6):84-96. [7] HALL P. Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems[J]. Journal of Multivariate Analysis, 1990, 32(2):177-203. [8] 刘维奇, 赫英迪, 邢红卫. 选择重尾阈值k的Bootstrap方法[J].山西大学学报(自然科学版), 2010, 33(4): 508-512. LIU Weiqi, HE Yingdi, XING Hongwei. Bootstrap method in selecting heavy-tailed threshold k[J]. Journal of Shanxi University (Natural Science Edition), 2010, 33(4): 508-512. [9] ACHARYA V V, PEDERSEN L H, PHILIPPON T, et al. Measuring systemic risk[J]. The Review of Financial Studies, 2017, 30(1): 2-47. [10] ADRIAN T,BRUNNERMEIER M. Risk spillovers of financial institutions[R/OL]. [2019-01-01]. https://conference.nber.org/conferences/2008/si2008/Risk/adrian.pdf. [11] ADRIAN T, BRUNNERMEIER M K. CoVAR[R]. Cambridge, MA: National Bureau of Economic Research, 2011: No. 17454. [12] 高国华, 潘英丽. 银行系统性风险度量——基于动态 CoVaR方法的分析[J]. 上海交通大学学报, 2011, 45(12): 1753-1759. GAO Guohua, PAN Yingli.Banking systemic risk based on dynamic CoVaR estimation[J]. Journal of Shanghai Jiaotong University, 2011, 45(12): 1753-1759. [13] 陈国进, 钟灵, 张宇. 我国银行体系的系统性关联度分析: 基于不对称 CoVaR[J]. 系统工程理论与实践, 2017, 37(1):61-79. CHEN Guojin, ZHONG Ling, ZHANG Yu. Systemic linkages in the Chinese banking system: The asymmetric CoVaR approach[J]. Systems Engineering:Theory & Practice, 2017, 37(1):61-79. [14] HARLOW W V, RAO R K S. Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence[J]. Journal of Financial and Quantitative Analysis, 1989, 24(3): 285-311. [15] VAN OORDT M R, ZHOU C. Systematic tail risk[J]. Journal of Financial and Quantitative Analysis, 2016, 51(2):685-705. [16] 叶五一, 张明, 缪柏其. 基于尾部指数回归方法的 CVaR 估计以及实证研究[J]. 统计研究, 2012, 29(11):79-83. YE Wuyi, ZHANG Ming, MIAO Baiqi. Estimation of CVaR and empirical analysis based on tail index regression model[J]. Statistical Research, 2012, 29(11):79-83.
() () |