Distributional analysis of the stocks comprising the DAX 30

• Autorzy: Hoechstoetter M. , Rachev S. , Fabozzi F.
• Języki publikacji: EN

Abstrakty

EN

In this paper, we analyze the returns of stocks comprising the German stock index DAX with respect to the α-stable distribution. We apply nonparametric estimation methods such as the Hill estimator as well as parametric estimation methods conditional on the α-stable distribution. We find for both the nonparametric and parametric estimation methods that the α-stable hypothesis cannot be rejected for the return distribution. We then employ the GARCH model; the fit of innovations modeled with an underlying α-stable distribution is compared to the fit obtained from modelling the innovations with the skew-t distribution. The α-stable distribution is found to out-perform the skew-t distribution.

Słowa kluczowe

EN

stable distributions; heavy-tails; tail estimation; ARMA-GARCH; DAX 30

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2005
• Tom: Vol. 25, Fasc. 2
• Strony: 363--383
• Opis fizyczny: Bibliogr. 38 poz., tab.

Twórcy

autor

Hoechstoetter M.

• Department of Econometrics and Statistics, University of Karlsruhe, D-76128 Karlsruhe, Germany

autor

Rachev S.

• Department of Econometrics and Statistics, University of Karlsruhe, D-76128 Karlsruhe, Germany
• Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106, U.S.A.

autor

Fabozzi F.

• School of Management, Yale University, New Haven, CT 06520, U.S.A.

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