Wyniki wyszukiwania - BazTech

Ograniczanie wyników

1 Probability and Mathematical Statistics

1 2005

Powiadomienia systemowe

Sesja wygasła!

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: heavy-tails

Sortuj według:

Ogranicz wyniki do:

Distributional analysis of the stocks comprising the DAX 30

Hoechstoetter M., Rachev S., Fabozzi F.

Probability and Mathematical Statistics

2005

Vol. 25, Fasc. 2

363--383

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.