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Modelling extremal stock returns in a stable Paretian environment

Modelling extremal stock returns in a stable Paretian environment

Paperback

Probability & Statistics

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ISBN10: 3638717542
ISBN13: 9783638717540
Publisher: Bod Third Party Titles
Published: Oct 5 2007
Pages: 140
Weight: 0.42
Height: 0.33 Width: 5.83 Depth: 8.27
Language: English
Diploma Thesis from the year 2003 in the subject Mathematics - Statistics, grade: 1,0, University of Cologne (Seminar für Wirtschafts- und Sozialstatistik), language: English, abstract: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. Letting the tails speak for themselves This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis.

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Probability & Statistics