Generalized Cumulative Residual Entropy Model for Measuring Tail Risk

机译：尾部风险的广义累积残差熵模型

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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.

机译：在本文中，我们使用一种基于信息论不确定性的新方法，称为广义累积残差熵（GCRE）来度量股市中的不确定性，并尝试获得一种新方法来度量股市中的尾部风险。通过比较方差和风险价值并分析实验，基于上海证券交易所指数（SSEI）的每日收盘价数据，验证了该新方法在尾部风险度量中的可行性和有效性。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|50-54|共5页
会议地点 Qingdao(CN)
作者
Lijuan Yang;
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作者单位

Jilin Agricultural Science and Technology College Jilin 132101,China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
generalized cumulative residual entropy; risk measure; variance; heavy-tailed distribution;

机译：广义累积剩余熵;风险度量;方差;重尾分布;

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专利

1. Some characterization results on generalized cumulative residual entropy measure [J] . Kumar V., Taneja H.C. Statistics & Probability Letters . 2011,第8期

机译：广义累积残差熵测度的一些刻画结果
2. Complexity analysis of time series based on generalized fractional order cumulative residual distribution entropy [J] . Wang Yu, Shang Pengjian Physica, A. Statistical mechanics and its applications . 2020,第期

机译：基于广义分数累积残余分布熵的时间序列复杂性分析
3. Weighted extensions of generalized cumulative residual entropy and their applications [J] . Tahmasebi Saeid Communications in Statistics . 2020,第19a21期

机译：广义累积剩余熵的加权延伸及其应用
4. Generalized Cumulative Residual Entropy Model for Measuring Tail Risk [C] . Lijuan Yang IEEE International conference on management engineering technology of statistics . 2012

机译：尾风险的广义累积剩余熵模型
5. Measuring effects of risk factors on cumulative incidence and remaining lifetime risk in the presence of competing risks. [D] . Du, Yangchun. 2010

机译：在存在竞争风险的情况下，测量风险因素对累积发生率和剩余生命周期风险的影响。
6. Non-Rigid Multi-Modal Image Registration Using Cross-Cumulative Residual Entropy [O] . FEI WANG, BABA C. VEMURI -1

机译：使用跨累积残差熵的非刚性多模态图像配准
7. Generalized Cumulative Residual Entropy for Distributions with Unrestricted Supports [O] . Noomane Drissi, Thierry Chonavel, Jean Marc Boucher 2008

机译：具有不受限制支持的分布的广义累积剩余熵

Generalized Cumulative Residual Entropy Model for Measuring Tail Risk

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