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Modelling extremal stock returns in a stable Paretian environment
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This thesis explores the challenges finance experts and statisticians face in understanding extreme movements in stock prices. It evaluates two main approaches: one based on full parametric assumptions for tail inference and the other allowing the data to reveal insights about the tails. The stable Paretian distribution is utilized as a conceptual framework for this analysis, providing a structured method to investigate and interpret these extremal behaviors in financial data.
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Modelling extremal stock returns in a stable Paretian environment, Hendrik Kohleick
- Sprache
- Erscheinungsdatum
- 2007
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- Titel
- Modelling extremal stock returns in a stable Paretian environment
- Sprache
- Englisch
- Autor*innen
- Hendrik Kohleick
- Verlag
- GRIN Verlag
- Erscheinungsdatum
- 2007
- Einband
- Paperback
- Seitenzahl
- 136
- ISBN13
- 9783638717540
- Kategorie
- Mathematik
- Beschreibung
- This thesis explores the challenges finance experts and statisticians face in understanding extreme movements in stock prices. It evaluates two main approaches: one based on full parametric assumptions for tail inference and the other allowing the data to reveal insights about the tails. The stable Paretian distribution is utilized as a conceptual framework for this analysis, providing a structured method to investigate and interpret these extremal behaviors in financial data.