EVT的问题

讲师：刘老师

  Shape parameter determines the speed at which the tail disappears. The normal distribution corresponds to shape parameter equals zero while typical financial data have a positive shape parameter which implies fat tails. (Handbook P364)。这道题的问题出在for empirical stock market data, 应该是肥尾的现象，对应正的shape parameter。而后半句没有问题。