Modelling extremal stock returns in a stable Paretian environment

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GRIN Verlag

Código:

491_9783638717540

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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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