This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and m...This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.展开更多
In this paper, two kinds of fuzzy logic named “fuzzy intervalvalue logic” and “uzzy distributedvalue logic”with truth values in fuzzy intervals and probabilistic distribution functions are presented, respectively...In this paper, two kinds of fuzzy logic named “fuzzy intervalvalue logic” and “uzzy distributedvalue logic”with truth values in fuzzy intervals and probabilistic distribution functions are presented, respectively, and the syllogism (modus ponens) is given for each logic. It has been pointed out that they will have various applications in knowledgebased systems and other artificial intelligence fields.展开更多
基金the National Natural Science Foundation of China (No. 79970041).
文摘This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.
文摘In this paper, two kinds of fuzzy logic named “fuzzy intervalvalue logic” and “uzzy distributedvalue logic”with truth values in fuzzy intervals and probabilistic distribution functions are presented, respectively, and the syllogism (modus ponens) is given for each logic. It has been pointed out that they will have various applications in knowledgebased systems and other artificial intelligence fields.
