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Modelling extremal stock returns in a stable Paretian environment

by Hendrik Kohleick
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Current price ₹5,683.00
Original price ₹6,615.00
Original price ₹6,615.00
Original price ₹6,615.00
(-14%)
₹5,683.00
Current price ₹5,683.00

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Book cover type: Paperback
  • ISBN13: 9783638717540
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 140
  • Original Price: USD 67.5
  • Language: English
  • Edition: N/A
  • Item Weight: 191 grams
  • BISAC Subject(s): Probability & Statistics / General

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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