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- Author: Hendrik Kohleick
- Publisher: GRIN Verlag
- Year: 2007
- Pages: 140
- ISBN-10: 3638717542
- ISBN-13: 9783638717540
- Format: 14.8 x 21 x 0.8 cm, softcover
- Language: English
- SAVE -10% with code: EXTRA
Modelling extremal stock returns in a stable Paretian environment (e-book) (used book) | bookbook.eu
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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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- Author: Hendrik Kohleick
- Publisher: GRIN Verlag
- Year: 2007
- Pages: 140
- ISBN-10: 3638717542
- ISBN-13: 9783638717540
- Format: 14.8 x 21 x 0.8 cm, softcover
- Language: English 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.
Reviews