Generalized Cumulative Residual Entropy Model for Measuring Tail Risk

摘要：

　　In this paper,we use a new approach based on an information-theoretic measure of uncertainty called the generalized cumulative residual entropy (GCRE) to measuring uncertainty in stock market,and attempt to obtain a new method to measure tail risk in stock market.By comparing with variance and value-at-risk and analyzing the experiments,conducted on daily closing price data of the Shanghai Stock Exchange Index (SSEI),reveal the feasibility and effectiveness of the new method in measuring tail risk.

关键词： generalized cumulative residual entropy risk measure variance heavy-tailed distribution

作者: Lijuan Yang

作者单位: Jilin Agricultural Science and Technology College Jilin 132101,China

会议类型: 国际会议

会议名称: 2012 IEEE 5th International Conference on Management Engineering & Technology of Statistics (第五届(2012)管理工程与统计技术国际学术研讨会(ICMETS2012))

会议地点: 青岛

会议语种:英文

页码: 50-54

在线出版日期: 2012-07-20（万方平台首次上网日期，不代表论文的发表时间）