Modelling Extremal Stock Returns in a Stable Paretian Environment

Download or read book Modelling Extremal Stock Returns in a Stable Paretian Environment written by Hendrik Kohleick and published by GRIN Verlag. This book was released on 2007-10 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2003 in the subject Statistics, grade: 1,0, University of Cologne (Seminar f r Wirtschafts- und Sozialstatistik), 86 entries in the bibliography, 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.