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《Systems Engineering》 1998-01
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Empirical Study on Distribution of Return in Shanghai Securities Exchange

Yan Jinan Zhang Wei  
After it's found that return in S. S. E. is a curve rather than a line in probability plot, non - normality of return in S. S. E. is tested by both parametric and non -parametric methods. For searching more appropriate form of return's distribution, GED, ARCH and TPN are estimated empirically. According to A1C, the three models are superior to normal distribution and TPN is the best.
【Fund】: 国家自然科学基金“九五”重大项目“金融数学、金融工程与金融管理的研究”子课题“金融风险分析、防范与控制”(79713007)资助
【CateGory Index】: F224.0
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